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Concept
Conditional Heteroskedasticity
Conditional heteroskedasticity
refers to the phenomenon where the
variability of a time series
or
regression error term
changes over time, often in response to
past values
or other variables. It is crucial in econometrics and finance for
modeling volatility
, as it can significantly impact the efficiency and
validity of statistical inferences
and predictions.
Relevant Degrees
Probability and Statistics 100%
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