autoregressive conditional heteroskedasticity

autoregressive conditional heteroskedasticity
( ARCH)
A nonlinear stochastic process, where the variance is time-varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat-tails, much like fractal distributions. The ARCH model was invented by Robert Engle. The Generalized ARCH (GARCH) model is the most widely used and was pioneered by Tim Bollerslev. Bloomberg Financial Dictionary
See: fractal distributions. Bloomberg Financial Dictionary

Financial and business terms. 2012.

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