Autoregressive conditional heteroskedasticity

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Dina econometrics, model autoregressive conditional heteroskedasticity (ARCH) nimbangkeun yen wates salah varian ayeuna jadi fungsi wates salah varian dina waktu samemehna.

Lamun autoregressive moving average model di-asumsikeun keur kasalahan, modelna nyaeta model generalized autoregressive conditional heteroskedasticity (GARCH).

Sacara umum, lamun tes keur heteroskedasticity dina model econometric, tes nu panghadena White test. Hal sejen, lamun pakait jeung data deret waktu, tes panghadena nyaeta tes Engle's ARCH.

Sumber sejen[édit | sunting sumber]

  • Tim Bollerslev. "Generalized Autorregressive Conditional Heteroskedasticity", Journal of Econometrics, 31:307-327, 1986.
  • Robert F. Engle. "Autoregressive Conditional Heteroscedasticity with Estimates of Variance of United Kingdom Inflation", Econometrica 50:987-1008, 1982. (the paper which sparked the general interest in ARCH models)
  • Robert F. Engle. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics", Journal of Economic Perspectives 15(4):157-168, 2001. (a short, readable introduction)