Information om | Engelska ordet GARCH

Exempel på hur man kan använda GARCH i en mening

• The ARCH model is appropriate when the error variance in a time series follows an autoregressive (AR) model; if an autoregressive moving average (ARMA) model is assumed for the error variance, the model is a generalized autoregressive conditional heteroskedasticity (GARCH) model.
• The ARCH (Engle, 1982) and GARCH (Bollerslev, 1986) models aim to more accurately describe the phenomenon of volatility clustering and related effects such as kurtosis.
• The Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is another popular model for estimating stochastic volatility.
• A fellow of the Econometric Society, Bollerslev is known for his ideas for measuring and forecasting financial market volatility and for the GARCH (generalized autoregressive conditional heteroskedasticity) model.

Förberedelsen av sidan tog: 305,76 ms.