- Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) Process
- An econometric term developed in 1982 by Robert F. Engle, an economist and 2003 winner of the Nobel Memorial Prize for Economics to describe an approach to estimate volatility in financial markets. There are several forms of GARCH modeling. The GARCH process is often preferred by financial modeling professionals because it provides a more real-world context than other forms when trying to predict the prices and rates of financial instruments.
The general process for a GARCH model involves three steps. The first is to estimate a best-fitting autoregressive model; secondly, compute autocorrelations of the error term and lastly, test for significance.
GARCH models are used by financial professionals in several arenas including trading, investing, hedging and dealing. Two other widely-used approaches to estimating and predicting financial volatility are the classic historical volatility (VolSD) method and the exponentially weighted moving average volatility (VolEWMA) method.
Investment dictionary. Academic. 2012.
Look at other dictionaries:
Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) — A statistical model used by financial institutions to estimate the volatility of stock returns. This information is used by banks to help determine what stocks will potentially provide higher returns, as well as to forecast the returns of current … Investment dictionary
Autoregressive conditional heteroskedasticity — ARCH redirects here. For the children s rights organization, see Action on Rights for Children. In econometrics, AutoRegressive Conditional Heteroskedasticity (ARCH) models are used to characterize and model observed time series. They are used… … Wikipedia
autoregressive conditional heteroskedasticity — ( ARCH) A nonlinear stochastic process, where the variance is time varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat tails, much like fractal distributions. The… … Financial and business terms
Predictive analytics — encompasses a variety of techniques from statistics and data mining that analyze current and historical data to make predictions about future events. Such predictions rarely take the form of absolute statements, and are more likely to be… … Wikipedia
Time series — Time series: random data plus trend, with best fit line and different smoothings In statistics, signal processing, econometrics and mathematical finance, a time series is a sequence of data points, measured typically at successive times spaced at … Wikipedia
NumXL — Developer(s) Spider Financial Corp … Wikipedia
Mathematical economics — Economics … Wikipedia