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…

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.