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Results tagged with garch
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user 42984
Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for time series in which the conditional variance is time-varying and autocorrelated. The conditional variance is a linear combination of lagged conditional variances and lagged squared errors. The conditional variance equation in GARCH models is deterministic, in contrast to Stochastic Volatility (SV) models.
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How to fit AR(1)-GARCH(1,1) model in R? [closed]
I am currently working on the AR(1)+GARCH(1,1) model using R. I am looking out for example which explains step by step explanation for fitting this model in R. …
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