Books or tutorials for GARCH(1,1)

Question

I would like to use GARCH(1,1) to simulate $n$ samples. I really need to understand it deeply, so are there any good book or tutorials that can help?

There are two very different questions in your post; I would advise posting them separately. But please review the existing threads before you proceed. You might very well find your questions have already been answered there. — Richard Hardy, Oct 11 '16 at 18:23
"Books on Bayesian inferential analysis of GARCH models" is a related thread. — Richard Hardy, Apr 10 '21 at 19:37

Richard Hardy · Answer 1 · 2020-12-13T18:00:18.183

2

Rather comprehensive and advanced:

There is a second edition from 2019.

edited Dec 13 '20 at 18:00

answered Mar 17 '17 at 14:10

Richard Hardy

1

I have flagged the question for turning it into Community Wiki, and I suggest one reference per answer. – Richard Hardy Mar 17 '17 at 14:12

1 Answers1