Introduction / Robert F. Engle -- 1. Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation / Robert F. Engle -- 2. Estimating Time-Varying Risk Premia in the Term Structure: The ARCH-M Model / Robert F. Engle, David M. Lilien and Russell P. Robins -- 3. Generalized Autoregressive Conditional Heteroskedasticity / Tim Bollerslev -- 4. Expected Stock Returns and Volatility / Kenneth R. French, G. William Schwert and Robert F. Stambaugh -- 5. Conditional Heteroskedasticity in Asset Returns: A New Approach / Daniel B. Nelson -- 6. Semiparametric ARCH Models / Robert F. Engle and Gloria Gonzalez-Rivera -- 7. Measuring and Testing the Impact of News on Volatility / Robert F. Engle and Victor K. Ng -- 8. Stationarity and Persistence in the GARCH(1,1) Model / Daniel B. Nelson -- 9. ARCH Models as Diffusion Approximations / Daniel B. Nelson -- 10. Temporal Aggregation of GARCH Processes / Feike C. Drost and Theo E. Nijman.