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GARCH: Understanding Volatility Modeling by Jonhmark Aniñon is a document available to read on EtoBox.

What is GARCH: Understanding Volatility Modeling about?

GARCH is a statistical model used to analyze time-series data where the variance of errors is believed to change over time in a predictable way. It assumes the variance follows an autoregressive moving average process. GARCH builds on the ARCH model by allowing for more flexibility in modeling conditional heteroskedasticity. Financial institutions use GARCH to estimate volatility and risk for assets like stocks to inform pricing, asset allocation, and risk management decisions.

Author

Jonhmark Aniñon

Language

EN