Hall, PeterYao, Qiwei2015-12-132015-12-130012-9682http://hdl.handle.net/1885/74623ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is present. These include financial time series, which can beKeywords: Approximation theory; Finance; Mathematical models; Maximum likelihood estimation; Parameter estimation; Garch models; Inference; Time series analysis Autoregression; Bootstrap; Dependent data; Domain at attraction; Financial data; Limit theory; Percentile-t bootstrap; Quasi-maximum likelihood; Semiparametric inference; Stable law; Studentize; Subsample bootstrap; Time series20032015-12-11