Regression modelEconometrics / time series
ARCH Model (Autoregressive Conditional Heteroskedasticity)
The ARCH model, introduced by Robert Engle in 1982, captures time-varying volatility in financial and macroeconomic time series. It models the conditional variance of today's error as a function of past squared errors, explaining why volatile periods cluster together — a phenomenon known as volatility clustering.
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Sources
- Engle, R. F. (1982). Autoregressive conditional heteroscedasticity with estimates of the variance of United Kingdom inflation. Econometrica, 50(4), 987–1007. DOI: 10.2307/1912773 ↗
- Engle, R. F. (2001). GARCH 101: The use of ARCH/GARCH models in applied econometrics. Journal of Economic Perspectives, 15(4), 157–168. DOI: 10.1257/jep.15.4.157 ↗
Related methods
Referenced by
Bayesian ARCH modelBayesian EGARCHBayesian GARCH modelDCC-GARCH modelEGARCH modelFourier ARCH ModelFourier GARCH ModelGJR-GARCHNonlinear ARCH modelNonlinear ARMA modelNonlinear EGARCH modelNonlinear GARCH modelNonlinear TGARCH modelPanel GARCH modelRobust ARCH modelRobust GARCH modelRobust TGARCHStructural Break ARCH ModelStructural Break EGARCHTGARCH modelTime-varying parameter ARCH model