The generalized autoregressive conditional heteroskedasticity (GARCH) process is an econometric term used to describe an approach to estimate volatility in financial markets.

This paper develops a closed-form option valuation formula for a spot asset whose variance follows a GARCH (p, q) process that can be correlated with the returns of the spot asset. It provides the ...

Davidson (2004) recently proposed the hyperbolic GARCH model to capture the phenomenon of longrange dependence in volatility, with the extent of such dependence measured by the geometric or hyperbolic ...