Autoregression and ARCH GARCH models

[hayyan1]

Hello guys, I need to understand the ARCH and GARCH models and so I need some advice on where I should begin my study. In order to understand ARCH models, am I right to begin with studying autoregression? If so can you guys provide me with a link or book I should look into...

By the way, I have a masters degree in Mathematics and Physics, but I have not covered any statistics in my degree. This shouldn't be a problem, I don't think, because I know the basics of stats and probability.

Thanks

 

[chiro]

Hey hayyan1 and welcome to the forums.

You might want to check this out:

http://people.bath.ac.uk/mascc/TS.html

 

[hayyan1]

Thanks Ill check that out