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Tran res 0 arch - PowerPoint PPT Presentation

VOLATILITY MODELS

VOLATILITY MODELS. GARCH. GENERALIZED- more general than ARCH model AUTOREGRESSIVE-depends on its own past CONDITIONAL-variance depends upon past information HETEROSKEDASTICITY- fancy word for non-constant variance. HISTORY. I DEVELOPED THE ARCH MODEL WHEN I WAS VISITING LSE IN 1979

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Tran res 0 arch - PowerPoint PPT Presentation

VOLATILITY MODELS