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That is, can I use GARCH or ARCH to model something like sales, gas consumption, data consumption etc or is GARCH/ARCH only for financial applications (i.e. return series)?

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  • $\begingroup$ GARCH/ARCH can be used on any time series, but it's not necessarily a good model in many situations. Anytime you think it is a good model, there's absolutely nothing stopping you using it. $\endgroup$ – Glen_b Jun 8 '14 at 8:57
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Yes, you definitely can use GARCH/ARCH models for those data sets if you are concern about volatility in your time series. See for example page 15 in Vlatility In Natural Gas and Oil Markets where they fitted a GARCH model. I have seen GARCH models in population modeling. See e.g. the plot in here. These models are mainly developed to take into account the volatility. But this does not mean that they should only be used in financial applications. The data you have should first exhibit that these models can be considered as some candidate models and then you will use them.

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