GARCH Models by Christian Francq, Jean-Michel Zakoian – 9781119313571
ISBN-13: 9781119313571, 978-1119313571. The probability structure of standard GARCH models is studied in detail as well as statistical inference such as identification, estimation, and tests. The book also provides new coverage of several extensions such as multivariate models, looks at financial applications, and explores the very validation of the models used.