Generalized AutoRegressive Conditional Heteroscedasticity

What is a Generalized AutoRegressive Conditional Heteroscedasticity (GARCH) process? That’s a long fancy name for something that’s actually relatively simple. The overall context is time series analysis. Let’s sort out the terminology… Scedasticity Scedasticity (or skedasticity) is the distribution of error terms (of some random variable). If the variance (and standard deviation) of the error … Continue reading Generalized AutoRegressive Conditional Heteroscedasticity