Statements (23)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:application |
option pricing
financial risk management forecasting volatility |
| gptkbp:assumes |
conditional heteroskedasticity
|
| gptkbp:category |
time series analysis
|
| gptkbp:extendsTo |
gptkb:ARCH
|
| gptkbp:fullName |
gptkb:Generalized_Autoregressive_Conditional_Heteroskedasticity
|
| https://www.w3.org/2000/01/rdf-schema#label |
GARCH
|
| gptkbp:introduced |
gptkb:Tim_Bollerslev
|
| gptkbp:introducedIn |
1986
|
| gptkbp:mathematicalType |
gptkb:stochastic_process
|
| gptkbp:parameter |
alpha
beta omega |
| gptkbp:relatedTo |
gptkb:EGARCH
gptkb:ARCH gptkb:GJR-GARCH |
| gptkbp:usedFor |
modeling time series volatility
|
| gptkbp:usedIn |
finance
econometrics |
| gptkbp:bfsParent |
gptkb:ARCH_models
|
| gptkbp:bfsLayer |
6
|