Generalized Autoregressive Conditional Heteroskedasticity
GPTKB entity
Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:abbreviation |
gptkb:GARCH
|
| gptkbp:application |
option pricing
risk management financial econometrics forecasting volatility |
| gptkbp:characteristic |
models conditional variance
|
| gptkbp:component |
conditional variance
autoregressive terms moving average terms |
| gptkbp:field |
statistics
econometrics |
| gptkbp:generalizes |
gptkb:ARCH_model
|
| https://www.w3.org/2000/01/rdf-schema#label |
Generalized Autoregressive Conditional Heteroskedasticity
|
| gptkbp:mathematical_property |
leptokurtosis
stationarity conditions |
| gptkbp:parameter_estimation |
maximum likelihood estimation
quasi-maximum likelihood estimation |
| gptkbp:proposedBy |
gptkb:Tim_Bollerslev
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:EGARCH gptkb:GJR-GARCH Stochastic volatility model |
| gptkbp:usedFor |
modeling time series volatility
|
| gptkbp:yearProposed |
1986
|
| gptkbp:bfsParent |
gptkb:GARCH
|
| gptkbp:bfsLayer |
7
|