Statements (25)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:application |
risk management
forecasting conditional variance modeling financial market volatility |
| gptkbp:category |
time series analysis
econometric models |
| gptkbp:extendsTo |
gptkb:GARCH_model
gptkb:ARCH-M_model gptkb:EGARCH_model gptkb:TARCH_model |
| gptkbp:form |
variance at time t depends on past squared errors
|
| gptkbp:fullName |
gptkb:Autoregressive_Conditional_Heteroskedasticity_model
|
| gptkbp:generalizes |
gptkb:GARCH_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
ARCH model
|
| gptkbp:introduced |
gptkb:Robert_F._Engle
|
| gptkbp:introducedIn |
1982
|
| gptkbp:NobelPrizeYear |
Robert F. Engle won Nobel Prize in Economics in 2003 for ARCH model
|
| gptkbp:relatedTo |
volatility modeling
heteroskedasticity |
| gptkbp:usedFor |
modeling time series data with changing variance
|
| gptkbp:usedIn |
finance
statistics econometrics |
| gptkbp:bfsParent |
gptkb:Robert_Engle
|
| gptkbp:bfsLayer |
5
|