ARCH. An econometrics model used to analyze and predict volatility. Fluctuations in volatility tend to be grouped into clusters when viewed over time. The calculation of the ARCH model will take the historical data clusters and use them to calculate future volatility by looking at how probability distributions relate to a variable, such as price. For example, an investor using the Black-Scholes Option Pricing Model can use ARCH to examine the volatility of the underlying asset.
Related information about Autoregressive Conditional Heteroskedasticity:
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In econometrics, AutoRegressive Conditional Heteroskedasticity (ARCH) models are used to characterize and model observed time series. They are used ...
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An econometric term used for observed time series. ARCH models are used to model financial time series with time-varying volatility, such as stock prices.
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...extreme volatility. While periods of strong turbulence caused large fluctuations in prices in stock markets, these were often followed by relative calm and slight ...