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Autoregressive conditional heteroskedasticity is a time-series statistical model used to analyze volatility in high frequency data.
ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is ...
Liang Peng, Qiwei Yao, Least Absolute Deviations Estimation for ARCH and GARCH Models, Biometrika, Vol. 90, No. 4 (Dec., 2003), pp. 967-975 ...
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