Reference Entry

autoregressive conditional heteroscedasticity

Edited by John Black, Nigar Hashimzade and Gareth Myles

in A Dictionary of Economics

Fourth edition

Published in print January 2012 | ISBN: 9780199696321
Published online May 2013 | e-ISBN: 9780191759130
autoregressive conditional heteroscedasticity

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A time series model in which the random error is conditionally heteroscedastic with respect to its past realizations. This model is used to describe volatility clustering, i.e. a pattern observed in many financial data where large and small forecast errors appear to occur in clusters. The simplest form is ARCH (1),...

Reference Entry.  90 words.  Illustrated.

Subjects: Economics

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