Autoregressive conditional heteroskedasticity

Ti Wikipédia, énsiklopédia bébas
Luncat ka: pituduh, paluruh

Dina econometrics, modél autoregressive conditional heteroskedasticity (ARCH) nimbangkeun yén wates salah varian ayeuna jadi fungsi wates salah varian dina waktu saméméhna.

Lamun autoregressive moving average model di-asumsikeun keur kasalahan, modélna nyaéta modél generalized autoregressive conditional heteroskedasticity (GARCH).

Sacara umum, lamun tes keur heteroskedasticity dina modél econometric, tes nu panghadéna White test. Hal séjén, lamun pakait jeung data deret waktu, tes panghadéna nyaéta tes Engle's ARCH.

Sumber sejen[édit | édit 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)