Regression modelEconometrics / time series

Time-Varying Parameter GARCH Model (TVP-GARCH)

The Time-Varying Parameter GARCH model extends the standard GARCH framework by allowing the conditional variance parameters — including the ARCH and GARCH coefficients — to change over time rather than remaining fixed throughout the sample. This makes it well-suited to financial and macroeconomic series where volatility dynamics evolve across different market regimes or economic episodes.

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Sources

  1. Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987-1007. DOI: 10.2307/1912773
  2. Creal, D., Koopman, S. J., & Lucas, A. (2013). Generalized autoregressive score models with applications. Journal of Applied Econometrics, 28(5), 777-795. DOI: 10.1002/jae.1279

Related methods

ScholarGateTime-varying parameter GARCH model (Time-Varying Parameter Generalized Autoregressive Conditional Heteroscedasticity Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/time-varying-parameter-garch-model