Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:application |
financial time series
stock market returns |
| gptkbp:assumes |
conditional variance depends on past squared errors
|
| gptkbp:category |
time series analysis
|
| gptkbp:extendsTo |
gptkb:ARCH-M
gptkb:EGARCH gptkb:GARCH gptkb:TARCH |
| gptkbp:field |
statistics
econometrics |
| gptkbp:fullName |
Autoregressive Conditional Heteroskedasticity models
|
| gptkbp:generalizes |
GARCH models
|
| https://www.w3.org/2000/01/rdf-schema#label |
ARCH models
|
| gptkbp:inferenceMethod |
maximum likelihood estimation
|
| gptkbp:introduced |
gptkb:Robert_F._Engle
|
| gptkbp:introducedIn |
1982
|
| gptkbp:NobelPrizeYear |
Robert F. Engle won Nobel Prize in Economics in 2003 for ARCH models
|
| gptkbp:parameter |
lag order
|
| gptkbp:relatedTo |
heteroskedasticity
volatility clustering |
| gptkbp:software |
gptkb:Python
gptkb:MATLAB R |
| gptkbp:type |
linear model
|
| gptkbp:usedFor |
modeling time series volatility
|
| gptkbp:bfsParent |
gptkb:Robert_F._Engle
|
| gptkbp:bfsLayer |
5
|