Autoregressive Conditional Heteroskedasticity model
GPTKB entity
Statements (16)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:abbreviation |
gptkb:ARCH_model
|
| gptkbp:appliesTo |
finance
econometrics |
| gptkbp:characteristic |
conditional variance depends on past squared errors
|
| gptkbp:generalizes |
Generalized Autoregressive Conditional Heteroskedasticity model
|
| https://www.w3.org/2000/01/rdf-schema#label |
Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:introduced |
gptkb:Robert_F._Engle
|
| gptkbp:introducedIn |
1982
|
| gptkbp:NobelPrizeYear |
Robert F. Engle won Nobel Prize in Economics in 2003 for ARCH
|
| gptkbp:relatedTo |
gptkb:GARCH_model
stochastic volatility model |
| gptkbp:usedFor |
modeling volatility
|
| gptkbp:usedIn |
time series analysis
|
| gptkbp:bfsParent |
gptkb:ARCH_model
|
| gptkbp:bfsLayer |
6
|