Construct · 1 fields · 1 citations

GARCH: a standalone construct

One name. One construct. A landmark on the map.

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Econometrics

a model in which today's volatility depends on past squared shocks and past volatility.

In econometrics, GARCH refers to a model in which today's volatility depends on past squared shocks and past volatility. This meaning comes from Bollerslev (1986) in Journal of Econometrics.[1]

Unit
Recovery means
Measured by

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Nearby constructs

GJR-GARCH1 fields · 1 citationsanchor · a standalone construct model3 fields · 3 citationsjingle · one word, three constructs volatility3 fields · 4 citationsjingle · one word, three constructs

References

Bollerslev, T. (1986). Generalized autoregressive conditional heteroskedasticity. Journal of Econometrics, 31(3), 307-327. https://doi.org/10.1016/0304-4076(86)90063-1

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