Generalized AutoRegressive Conditional Heteroskedasticity (GARCH)
- 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 investments to help in the budgeting process.
There are many variations of GARCH, including NGARCH to include correlation, and IGARCH which restricts the volatility parameter. Each model can be used to accomodate the specific qualities of the stock, industry or economic state.
Investment dictionary.
Academic.
2012.
Look at other dictionaries:
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… … 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
GARCH-Modell — GARCH Modelle (generalized autoregressive conditional heteroscedasticity) sind eine Verallgemeinerung von ARCH Modellen (autoregressive conditional heteroscedasticity). Hierbei hängt die bedingte Varianz ht nicht nur von der Historie der… … Deutsch Wikipedia
Autoregressive bedingte Heteroskedastizität — Das von Robert F. Engle in den 80er Jahren entwickelte ARCH Modell (autoregressive conditional heteroskedasticity) beschrieb ursprünglich die Entwicklung der Volatilität. Es geht von der Annahme aus, dass die Varianz der zufälligen Modellfehler… … Deutsch Wikipedia
ARCH-Modell — Das von Robert F. Engle in den 80er Jahren entwickelte ARCH Modell (autoregressive conditional heteroskedasticity) beschrieb ursprünglich die Entwicklung der Volatilität. Es geht von der Annahme aus, dass die bedingte Varianz der zufälligen… … Deutsch Wikipedia
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
Tim Bollerslev — Tim Peter Bollerslev (born May 11, 1958 in Copenhagen, Denmark) is a Danish economist, currently the Juanita and Clifton Kreps Professor of Economics at Duke University. A fellow of the Econometric Society, Bollerslev is known for his ideas for… … 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
