Autoregressive Conditional Heteroskedasticity

Also found in: Dictionary/thesaurus, Medical, Legal, Acronyms, Encyclopedia, Wikipedia

0.01 sec.

Autoregressive Conditional Heteroskedasticity (ARCH)

A nonlinear stochastic process, where the variance is time-varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat-tails, much like fractal distributions. The ARCH model was invented by Robert Engle. The Generalized ARCH (GARCH) model is the most widely used and was pioneered by Tim Bollerslev. See: Fractal Distributions.

A statistical measure of the average error between a best fit line and actual data that uses past data to predict future performance. General Autoaggressive Conditional Heteroskedasticity is the most common way of doing this. See also: Fractal Distribution.

Want to thank TFD for its existence? Tell a friend about us, add a link to this page, add the site to iGoogle, or visit the webmaster's page for free fun content.

?Page tools

Printer friendly
Cite / link

Feedback
Add definition

Mentioned in	?		References in periodicals archive	?		Financial browser	?		Full browser	?
ARCH			We propose three alternative specifications of expected future beta based on the past information on realized beta using autoregressive, moving average, and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models to obtain time-varying conditional betas for each stock. The conditional beta and the cross-section of expected returns by Bali, Turan G.; Cakici, Nusret; Tang, Yi / Financial Management Finally, we jointly model the impact of the expiration of these contracts on the returns to the market index and the volatility of these returns, using generalised autoregressive conditional heteroskedasticity (GARCH) models. Impact of derivatives trading on emerging stock markets: some ... by Bhaumik, Sumon Kumar; Bose, Suchismita / Comparative Economic Studies Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model. Changing inflation dynamics and uncertainty in the United States by Miles, William; Vijverberg, Chu-Ping C. / Southern Economic Journal			Automatic Withdrawal Automation Automation Rate Automobile Assigned Risk Insurance Automobile Comprehensive Automobile Expenses Automobile Fleet Automobile Information Disclosure Act Automobile Lease Automobile Liability Insurance Automobile Physical Damage Insurance Automobile Reinsurance Facility Automobile Theft Automobile, Boat, and Aircraft Insurance Automotive Industry Automotive Products Trade Agreement Autonomo Autonomous Consumption Autonomous Investment Autonomous System Autonomy AUTOPER Autoquote Autor Autoregressive Autoregressive Conditional Heteroskedasticity Autoregressive Process Autorite du Bassin du Niger Autoversicherung Auxiliary Service Facility Availability Availability Float Availability Schedule Available Asset Available Balance Available Cash Flow Available Credit Available Earnings Available for Sale Available on the Way in Available Reserve Available Seat Miles Aval Aval bancario Avalista Avalizor Avantage Avantage comparative Avantages sociaux Average Average Accounting Return			autoradiograph autoradiograph autoradiograph autoradiographed autoradiographed autoradiographic autoradiographic autoradiographing autoradiographing autoradiographs autoradiographs autoradiography autoradiography autoradiography Autoradiopuhelin Autorail Autorail Touristique du Minervois Autorails Touristiques Seine et Marnais autoranging autoreactive autoreactive T cells in autologous mixed lymphocyte reaction autoreducing tachymeter autorefraction autorefractometer autorefractometer Autorefractor Autorefractor Autoregressive Autoregressive Autoregressive conditional heteroscedasticity Autoregressive Conditional Heteroskedasticity Autoregressive Constrained Categorical Regression Autoregressive Distributed Lag Model Autoregressive Exogenous Autoregressive fractionally integrated moving average Autoregressive moving average Autoregressive Moving Average eXogenous Autoregressive moving average model Autoregressive process Autoregressive Processes autoregressive series autoregulation autoregulation Autoregulation of Cerebral Blood Flow autoregulatory escape autoregulatory escape autoregulatory escape autoregulatory escape autoreinfection Autoreply autoreproduction Autoresonant Accelerator Autoresponder autorestart autoreverse Autori Cattolici e Opere Liturgiche Autori Vari Autorickshaw Autorickshaws

Financial Dictionary

Free Tools:	For surfers: Free toolbar & extensions \| Word of the Day \| Help For webmasters: Free content \| Linking \| Lookup box \| Double-click lookup

Disclaimer
All content on this website, including dictionary, thesaurus, literature, geography, and other reference data is for informational purposes only. This information should not be considered complete, up to date, and is not intended to be used in place of a visit, consultation, or advice of a legal, medical, or any other professional.