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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James Knight
Editor of Education
James is the Editor of Education for Invezz, where he covers topics from across the financial world, from the stock market, to cryptocurrency, to macroeconomic markets.... read more.