Construct · 1 fields · 1 citations

GARCH-in-mean: a standalone construct

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Econometrics

a volatility model in which conditional variance enters the mean equation, so expected returns or risk premia move with risk.

In econometrics, GARCH-in-mean refers to a volatility model in which conditional variance enters the mean equation, so expected returns or risk premia move with risk. This meaning comes from Engle (1987) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

conditional3 fields · 3 citationsjingle · one word, three constructs mean3 fields · 6 citationsjingle · one word, three constructs model3 fields · 3 citationsjingle · one word, three constructs

References

Engle, R. F., Lilien, D. M., & Robins, R. P. (1987). Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model. Econometrica, 55(2), 391. https://doi.org/10.2307/1913242

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