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In particular, we incorporate auxiliary deterministic processes, governed by recurrent neural networks, into the conditional variance of the traditional conditional heteroskedastic models, for example, GARCH\u2010type models, to flexibly capture the dynamics of the underlying volatility. RECH models can detect interesting effects in financial volatility overlooked by the existing conditional heteroskedastic models such as the GARCH, GJR, and EGARCH. The new models often have good out\u2010of\u2010sample forecasts while still explaining well the stylized facts of financial volatility by retaining the well\u2010established features of econometric GARCH\u2010type models. These properties are illustrated through simulation studies and applications to 31 stock indices and exchange rate data. An user\u2010friendly software package, together with the examples reported in the paper, is available at\n                    <jats:ext-link xmlns:xlink=\"http:\/\/www.w3.org\/1999\/xlink\" xlink:href=\"https:\/\/github.com\/vbayeslab\">https:\/\/github.com\/vbayeslab<\/jats:ext-link>\n                    .\n                  <\/jats:p>","DOI":"10.1002\/jae.2902","type":"journal-article","created":{"date-parts":[[2022,5,13]],"date-time":"2022-05-13T22:38:52Z","timestamp":1652481532000},"page":"1031-1054","update-policy":"https:\/\/doi.org\/10.1002\/crossmark_policy","source":"Crossref","is-referenced-by-count":16,"title":["Recurrent conditional heteroskedasticity"],"prefix":"10.1002","volume":"37","author":[{"given":"Trong\u2010Nghia","family":"Nguyen","sequence":"first","affiliation":[{"name":"Discipline of Business Analytics The University of Sydney Business School Darlington New South Wales Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Minh\u2010Ngoc","family":"Tran","sequence":"additional","affiliation":[{"name":"Discipline of Business Analytics The University of Sydney Business School Darlington New South Wales Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Robert","family":"Kohn","sequence":"additional","affiliation":[{"name":"School of Economics UNSW Business School Kensington New South Wales Australia"}],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"311","published-online":{"date-parts":[[2022,6,12]]},"reference":[{"key":"e_1_2_9_2_1","doi-asserted-by":"publisher","DOI":"10.2307\/2527343"},{"key":"e_1_2_9_3_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2012.01.011"},{"key":"e_1_2_9_4_1","doi-asserted-by":"publisher","DOI":"10.1016\/S0304-4076(95)01749-6"},{"key":"e_1_2_9_5_1","doi-asserted-by":"publisher","DOI":"10.3982\/ECTA6495"},{"key":"e_1_2_9_6_1","doi-asserted-by":"publisher","DOI":"10.1093\/jjfinec\/nbh001"},{"key":"e_1_2_9_7_1","doi-asserted-by":"publisher","DOI":"10.1016\/j.jeconom.2014.06.021"},{"key":"e_1_2_9_8_1","unstructured":"Black F.(1976).Studies of stock price volatility changes. 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