Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
GPTKB entity
Statements (28)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
gptkb: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
|
| 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 |
gptkb:time_series_model
|
| gptkbp:usedFor |
modeling time series volatility
|
| gptkbp:yearProposed |
1986
|
| gptkbp:bfsParent |
gptkb:Autoregressive_Conditional_Heteroskedasticity_(ARCH)
|
| gptkbp:bfsLayer |
7
|
| https://www.w3.org/2000/01/rdf-schema#label |
Generalized Autoregressive Conditional Heteroskedasticity (GARCH)
|