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(redirected from Autoregressive conditional heteroskedasticity)

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We propose three alternative specifications of expected future beta based on the past information on realized beta using autoregressive, moving average, and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models to obtain time-varying conditional betas for each stock.
The conditional beta and the cross-section of expected returns by Bali, Turan G.; Cakici, Nusret; Tang, Yi / Financial Management
Finally, we jointly model the impact of the expiration of these contracts on the returns to the market index and the volatility of these returns, using generalised autoregressive conditional heteroskedasticity (GARCH) models.
Impact of derivatives trading on emerging stock markets: some ... by Bhaumik, Sumon Kumar; Bose, Suchismita / Comparative Economic Studies
Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model.
Changing inflation dynamics and uncertainty in the United States by Miles, William; Vijverberg, Chu-Ping C. / Southern Economic Journal
 
 
 
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