Modelling Conditional Heteroscedasticity in Nonstationary Series

To accommodate the inhomogenous character of financial time series over longer time periods, standard parametric models can be extended by allow- ing their coeffcients to vary over time. Focusing on conditional heteroscedas- ticity models, we discuss various strategies to identify and estimate va… rying- coefficients models and compare all methods by means of a real-data applica- tion.