A term coined by economist Robert Engle in 1982 to describe complex calculations used to estimate price fluctuations in financial markets and to predict inflation. The process involves comparing a set of variables to their own past behaviors over a series of time intervals to identify correlations and unexpected outcomes. The goal is to use past errors in forecasting to create greater accuracy in current forecasting.
Related information about generalized autoregressive conditional heteroskedasticity (GARCH):
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GARCH Variant: Generalized Autoregressive Conditional Heteroscedasticity GARCH models are used to predict the volatility.
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