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
|