Autoregressive Conditional Heteroskedasticity (ARCH)
GPTKB entity
Statements (18)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:abbreviation |
gptkb:ARCH
|
| gptkbp:application |
financial time series
stock market analysis |
| gptkbp:assumes |
variance changes over time
|
| gptkbp:category |
time series analysis
|
| gptkbp:field |
statistics
econometrics |
| gptkbp:hasModel |
conditional variance
|
| https://www.w3.org/2000/01/rdf-schema#label |
Autoregressive Conditional Heteroskedasticity (ARCH)
|
| gptkbp:introduced |
gptkb:Robert_F._Engle
1982 |
| gptkbp:Nobel_Prize_related |
Robert F. Engle won Nobel Prize in Economics in 2003 for ARCH
|
| gptkbp:relatedTo |
gptkb:Generalized_Autoregressive_Conditional_Heteroskedasticity_(GARCH)
|
| gptkbp:usedFor |
modeling time series data
modeling volatility |
| gptkbp:bfsParent |
gptkb:Robert_Fry_Engle_III
|
| gptkbp:bfsLayer |
6
|