GARCH modelling
Generalized Autoregressive Conditional Heteroskedasticity
The generalised autoregressive conditional heteroskedasticity (GARCH) process is a method for predicting financial market volatility. The model is used by financial organisations to forecast the return volatility of stocks, bonds, and other investment vehicles. When projecting the values and rates of financial instruments, the GARCH process provides a more realistic framework than other models.
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