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gptkbp:instanceOf
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gptkb:statistical_analysis
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gptkbp:application
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risk management
forecasting conditional variance
modeling financial market volatility
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gptkbp:category
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time series analysis
econometric models
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gptkbp:extendsTo
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gptkb:GARCH_model
gptkb:ARCH-M_model
gptkb:EGARCH_model
gptkb:TARCH_model
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gptkbp:form
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variance at time t depends on past squared errors
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gptkbp:fullName
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gptkb:Autoregressive_Conditional_Heteroskedasticity_model
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gptkbp:generalizes
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gptkb:GARCH_model
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gptkbp:introduced
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gptkb:Robert_F._Engle
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gptkbp:introducedIn
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1982
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gptkbp:NobelPrizeYear
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Robert F. Engle won Nobel Prize in Economics in 2003 for ARCH model
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gptkbp:relatedTo
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volatility modeling
heteroskedasticity
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gptkbp:usedFor
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modeling time series data with changing variance
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gptkbp:usedIn
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finance
statistics
econometrics
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gptkbp:bfsParent
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gptkb:Autoregressive_Conditional_Heteroskedasticity_with_Estimates_of_the_Variance_of_United_Kingdom_Inflation
gptkb:Robert_Fry_Engle_III
gptkb:Robert_Engle
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gptkbp:bfsLayer
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6
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https://www.w3.org/2000/01/rdf-schema#label
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ARCH model
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