Autoregressive conditional heteroscedasticity (ARCH) model

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Updated: Aug 20, 2021

A time series model in which the random error is conditionally heteroscedastic with respect to its past realizations. This model is used to describe volatility clustering, i.e. a pattern observed in many financial dato where large and small deviations appear to occur in clusters.

Autoregressive conditional heteroscedasticity (ARCH) model

Reference: Oxford Press Dictonary of Economics, 5th edt.


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