Autoregressive conditional heteroskedasticity

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Autoregressive Conditional Heteroskedasticity

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References in periodicals archive	?		Acronyms browser	?		Full browser	?
We propose three alternative specifications of expected future beta based on the past information on realized beta using autoregressive, moving average, and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models to obtain time-varying conditional betas for each stock. The conditional beta and the cross-section of expected returns by Bali, Turan G.; Cakici, Nusret; Tang, Yi / Financial Management Finally, we jointly model the impact of the expiration of these contracts on the returns to the market index and the volatility of these returns, using generalised autoregressive conditional heteroskedasticity (GARCH) models. Impact of derivatives trading on emerging stock markets: some ... by Bhaumik, Sumon Kumar; Bose, Suchismita / Comparative Economic Studies Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model. Changing inflation dynamics and uncertainty in the United States by Miles, William; Vijverberg, Chu-Ping C. / Southern Economic Journal	AUTO AUTO REC AUTO-GOSS AUTO/IPL AUTOBARC AUTOBIL AUTOBILL AutoCAP AUTOCARP AUTOCAT AUTOCODE AUTOCOM AUTOCON AUTOCONET AUTODIN AUTODIN/DMS AUTOEXEC AUTOID AUTOLOG AUTOMA AutoMathA AUTONOMICS AUTOPAY AUTOPIC AUTOPSY Autoregressive conditional heteroskedasticity AUTOROS AutoRP AUTOS AUTOSAR AUTOSERD AUTOSEVOCOM AUTOSEVOCOM II AUTOSIGS AUTOSPEC AUTOSTRAD AUTOVON AUTOVON-F AUTOVON-R AUTOWIF AUTOX AUTP AUTRC AUTS AUTSPI AUTV AUU AUUA AUUBC AUUC AUUG	autoradiograph autoradiograph autoradiograph autoradiographed autoradiographed autoradiographic autoradiographic autoradiographing autoradiographing autoradiographs autoradiographs autoradiography autoradiography autoradiography Autoradiopuhelin Autorail Autorail Touristique du Minervois Autorails Touristiques Seine et Marnais autoranging autoreactive autoreactive T cells in autologous mixed lymphocyte reaction autoreducing tachymeter autorefraction autorefractometer autorefractometer Autorefractor Autorefractor Autoregressive Autoregressive Autoregressive conditional heteroscedasticity Autoregressive conditional heteroskedasticity Autoregressive Constrained Categorical Regression Autoregressive Distributed Lag Model Autoregressive Exogenous Autoregressive fractionally integrated moving average Autoregressive moving average Autoregressive Moving Average eXogenous Autoregressive moving average model Autoregressive process Autoregressive Processes autoregressive series autoregulation autoregulation Autoregulation of Cerebral Blood Flow autoregulatory escape autoregulatory escape autoregulatory escape autoregulatory escape autoreinfection Autoreply autoreproduction Autoresonant Accelerator Autoresponder autorestart autoreverse Autori Cattolici e Opere Liturgiche Autori Vari Autorickshaw Autorickshaws

References in periodicals archive

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We propose three alternative specifications of expected future beta based on the past information on realized beta using autoregressive, moving average, and generalized autoregressive conditional heteroskedasticity (GARCH)-in-mean models to obtain time-varying conditional betas for each stock.

The conditional beta and the cross-section of expected returns by Bali, Turan G.; Cakici, Nusret; Tang, Yi / Financial Management

Finally, we jointly model the impact of the expiration of these contracts on the returns to the market index and the volatility of these returns, using generalised autoregressive conditional heteroskedasticity (GARCH) models.

Impact of derivatives trading on emerging stock markets: some ... by Bhaumik, Sumon Kumar; Bose, Suchismita / Comparative Economic Studies

Secondly, as a check on these results, we will employ a generalized autoregressive conditional heteroskedasticity (GARCH) (1) model.

Changing inflation dynamics and uncertainty in the United States by Miles, William; Vijverberg, Chu-Ping C. / Southern Economic Journal