Generalized Autoregressive Conditional Heteroskedasticity (GARCH)

GPTKB entity

Statements (28)
Predicate Object
gptkbp:instanceOf statistical analysis
gptkbp:abbreviation gptkb:GARCH
gptkbp:application option pricing
risk management
financial time series
gptkbp:assumes stationarity
conditional heteroskedasticity
gptkbp:field finance
statistics
econometrics
gptkbp:generalizes gptkb:Autoregressive_Conditional_Heteroskedasticity_(ARCH)
gptkbp:hasModel conditional variance
https://www.w3.org/2000/01/rdf-schema#label Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
gptkbp:parameter q
p
gptkbp:proposedBy gptkb:Tim_Bollerslev
gptkbp:relatedModel gptkb:EGARCH
gptkb:ARCH
gptkb:GJR-GARCH
Stochastic Volatility Model
gptkbp:software gptkb:Python
gptkb:Matlab
R
gptkbp:type time series model
gptkbp:usedFor modeling time series volatility
gptkbp:yearProposed 1986
gptkbp:bfsParent gptkb:Autoregressive_Conditional_Heteroskedasticity_(ARCH)
gptkbp:bfsLayer 7