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Python for Finance by Yuxing Yan

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The GARCH (Generalized ARCH) model

Generalized AutoRegressive Conditional Heteroskedasticity (GARCH) is an important extension of ARCH, by Bollerslev (1986). The GARCH (p,q) process is defined as follows:

The GARCH (Generalized ARCH) model

Here, The GARCH (Generalized ARCH) model is the variance at time t, q is the order for the error terms, p is the order for the variance, The GARCH (Generalized ARCH) model is a constant, The GARCH (Generalized ARCH) model is the coefficient for the error ...

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