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gptkbp:instanceOf
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statistical analysis
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gptkbp:application
|
option pricing
risk management
financial market analysis
forecasting volatility
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gptkbp:assumes
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stationarity
conditional heteroskedasticity
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gptkbp:basedOn
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gptkb:ARCH_model
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gptkbp:extendsTo
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gptkb:ARCH_model
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gptkbp:field
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finance
statistics
econometrics
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gptkbp:form
|
variance equation depends on past squared residuals and past variances
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gptkbp:fullName
|
Generalized Autoregressive Conditional Heteroskedasticity model
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https://www.w3.org/2000/01/rdf-schema#label
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GARCH model
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gptkbp:introduced
|
gptkb:Tim_Bollerslev
|
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gptkbp:introducedIn
|
1986
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gptkbp:parameter
|
alpha
beta
omega
|
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gptkbp:relatedTo
|
gptkb:ARCH_model
stochastic volatility model
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gptkbp:software
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gptkb:Python
gptkb:MATLAB
gptkb:Stata
gptkb:EViews
R
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gptkbp:type
|
time series model
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gptkbp:usedFor
|
modeling time series volatility
|
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gptkbp:variant
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gptkb:EGARCH
gptkb:GJR-GARCH
gptkb:Integrated_GARCH
gptkb:Multivariate_GARCH
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gptkbp:bfsParent
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gptkb:ARCH_model
gptkb:Tim_Bollerslev
|
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gptkbp:bfsLayer
|
6
|