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…
In our continuous effort to make NumXL easy to use, we have created a tutorial video for our latest Tips and Hints Issue: ARCH Test Explained
In this week's issue of Tips & Tricks, we use the NumXL package to explain a common - and commonly misunderstood - diagnostic in econometric and time series analysis: the Auto Regressive Conditional Heteroskedacity test, or ARCH test for short.
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