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Results tagged with garch
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user 153109
A model for time series in which the conditional variance is time-varying and autocorrelated.
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Is ARCH model an extension / generalization of ARMA model? [duplicate]
In ARMA model, the error term is assumed to be white noise, i.e. independent and identically distributed. In ARCH model, we relaxed the assumption and let the error term to be uncorrelated but depende …
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