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 ...
Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...
The Lagrange Multiplier (LM) test is one of the principal tools to detect ARCH and GARCH effects in financial data analysis. However, when the underlying data are non-normal, which is often the case ...
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