Concepedia

Concept

garch models

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37.1K

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920

Authors

531

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About

Garch models is a methodological framework within econometrics and time series analysis designed to model and forecast the conditional variance of a stochastic process. This class of models is particularly significant for its ability to capture phenomena such as volatility clustering, where periods of high volatility tend to be followed by periods of high volatility, and vice versa.

Top Authors

Rankings shown are based on concept H-Index.

TT

Stockholm School of Economics

SL

Hong Kong University of Science and Technology

MB

Yıldız Technical University

SL

Seoul National University

Top Institutions

Rankings shown are based on concept H-Index.

University of Hong Kong

Pok Fu Lam, Hong Kong

Peking University

Beijing, China

University of Toronto

Toronto, Canada