Terminus [ GARCH ] |
GARCH
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Deutsch
GARCH
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Englisch
Definition 1
An extension of the ARCH class of models that allows lagged conditional variances to enter the equation. GARCH models have both a longer memory and a more flexible lag structure than ARCH models. See Auto-Regressive Conditional Heteroskedasticity (ARCH) Model. See also Heteroskedastic, Mean Reversion.
ifciGL
Generalized Autoregressive Conditional Heteroscedasticity
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Englisch
Quelle: HARVEY-xvii
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