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Key terms: math epsilon model sigma arch alpha q z errors sum conditional hat if beta terms autoregressive y engle variance time series k process econometrics generalized autoregressive conditional cdots estimate value residuals standard effects null hypothesis omega specification robert f returns mean theta squares applied lag distribution volatility standard deviation conditional variance periods log negative least lambda t z follows length nonlinear positive Search external links cited by footnotes on Wikipedia page Autoregressive conditional heteroskedasticity: |
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