Regression model

Generalized Autoregressive Conditional Heteroskedasticity (GARCH)

GARCH is an econometric model for the time-varying volatility of financial time series, introduced by Tim Bollerslev in 1986 as a generalisation of Engle's ARCH model. It treats the conditional variance as a function of past squared shocks and past variances, capturing the volatility clustering seen in returns.

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Sources

  1. Bollerslev, T. (1986). Generalized Autoregressive Conditional Heteroskedasticity. Journal of Econometrics, 31(3), 307-327. DOI: 10.1016/0304-4076(86)90063-1

Related methods

Referenced by

ScholarGateGARCH (Generalized Autoregressive Conditional Heteroskedasticity). Retrieved 2026-06-04 from https://scholargate.app/tr/econometrics/garch