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Heteroskedastic

   Also found in: Medical, Wikipedia 0.07 sec.
Heteroskedastic
A measure in statistics that refers to the variance of the errors over the sample.

Notes:
Most financial instruments, such as stocks, follow a heteroskedastic error pattern. For example, in regression, a mathematical relationship between a stock and some other type of measure is to be discovered over a period of time the error found between the line of best fit and the actual data point will vary - for instance, as each variable gets larger the error may increase.
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Table 2 present the results on different diagnostic analysis on the optimal specification to assess the robustness of the model and it was found to satisfy all the test namely test of normality, Lagrange multiplier test of serial correlation, the Autoregressive Conditional Heteroskedastic (ARCH) test and lastly Ramsey's RESET test for functional form with an [R.
Private sector financing on economic growth in Malaysia: results from ... by Guru, Balachandher Krishnan / Journal of Academy of Business and Economics
It provides coverage of seasonal decomposition, mean reversion, heavy-tailed distributions, exponential smoothing, spike pre-processing, autoregressive time series including models with exogenous variables and heteroskedastic (GARCH) components, regime-switching models, interval forecasts, jump-diffusion models, derivatives pricing and the market price of risk.
Analyze the Two Crucial Factors for Energy Companies - Electricity ... by Business Wire
As consequence, we examine the performance of alternative models for conditional heteroskedastic time series.
Risk management: an analysis of the low-tail behavior of high ... by Alvarez, Susana / Journal of Academy of Business and Economics
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