Go to Statistics Portal

ARCH / STOCHASTIC VOLATILITY MODELS

Statistics Directorate    
Definition:
ARCH/stochastic volatility models are time series models that allow for time-varying variances.

Source Publication:
OECD Economic Outlook Glossary + dare2.ubvu.vu.nl.

Hyperlink:
http://dare2.ubvu.vu.nl/bitstream/handle/1871/9396/00024.pdf?sequence=1

Statistical Theme: Financial statistics

Created on Friday, March 21, 2003

Last updated on Thursday, June 13, 2013