Volatility 201 – ARCH Modeling

Volatility 201 – ARCH Modeling

This week, we’ll take the prior discussion further and develop an understanding of autoregressive conditional heteroskedasticity (ARCH) volatility modeling.

Why do we care?

Volatility cannot be directly observed, and volatility modeling is more complicated than those of a conditional mean. The concepts and the ARCH model discussed here are pivotal to a solid understanding of financial time series volatility.

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