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Concept
ARCH Model
The ARCH (
Autoregressive Conditional Heteroskedasticity
) model is used in econometrics to describe
time series data
with
volatility clustering
, where
periods of swings
are followed by
periods of relative calm
. It captures the
changing variance
over time by modeling the variance of the
current error term
as a function of
previous error terms
, making it essential for
financial market analysis
and
risk management
.
Relevant Degrees
Probability and Statistics 88%
Operational Research 13%
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