ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is ...

Hall & Yao (2003) showed that, for ARCH/GARCH, i.e. autoregressive conditional heteroscedastic/generalised autoregressive conditional heteroscedastic, models with ...

Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...