GARCH
TheoryDefinition
Generalized Autoregressive Conditional Heteroskedasticity. Statistical model for time-varying volatility — captures the empirical observation that vol clusters (today's vol depends on recent vol).
Used to forecast volatility for risk management and option pricing. Variants: EGARCH (asymmetric — losses raise vol more than gains lower it), GJR-GARCH, T-GARCH.
Used to forecast volatility for risk management and option pricing. Variants: EGARCH (asymmetric — losses raise vol more than gains lower it), GJR-GARCH, T-GARCH.