Statements (46)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical model
|
| gptkbp:appliesTo |
financial data
|
| gptkbp:collectibility |
volatility clustering
|
| gptkbp:evaluates |
financial stability
investment performance |
| gptkbp:hasPrograms |
risk assessment
|
| https://www.w3.org/2000/01/rdf-schema#label |
ARCH model
|
| gptkbp:impact |
GARCH_model
|
| gptkbp:introduced |
1982
|
| gptkbp:is_a |
EGARCH model
GARCH_model |
| gptkbp:is_a_model_for |
assumes past variances affect future variances
|
| gptkbp:is_a_platform_for |
understanding market dynamics
volatility forecasting |
| gptkbp:is_a_subject_of |
academic research
quantitative finance financial econometrics |
| gptkbp:is_a_time_for |
analyzing risk
|
| gptkbp:is_a_tool_for |
volatility modeling
|
| gptkbp:is_a_way_to |
analyzing volatility
|
| gptkbp:is_available_in |
maximum likelihood estimation
|
| gptkbp:is_characterized_by |
time-varying volatility
|
| gptkbp:is_essential_for |
risk management
financial forecasting financial analysis investment strategies financial regulation |
| gptkbp:is_located_in |
Autoregressive Conditional Heteroskedasticity
|
| gptkbp:is_studied_in |
asset returns
|
| gptkbp:is_used_in |
market behavior
portfolio optimization financial software econometrics financial literature economic forecasting modeling time series data forecasting financial returns ARIMA models other econometric models |
| gptkbp:produces |
gptkb:Robert_Engle
|
| gptkbp:related_to |
time series analysis
derivative pricing hedging strategies high-frequency trading |
| gptkbp:suitableFor |
option pricing
credit risk modeling |