ABSTRACT
CHAPTER 6
Time series analysis is statistical analysis for stochastic processes. Recently a lot of statistical methods have been introduced in this ¯eld. The fundamental thing is to estimate statistical models which describe the time series concerned. As candidates of time series models, many nonlinear models, e.g., ARCH, GARCH, etc., besides classical linear models, e.g., AR, ARMA, etc., have been proposed in ¯nancial time series analysis.
