1. Home
  2. IT
  3. Signal processing and its applications
  4. Temporal series or chronological series

  5. GARCH process

Article | REF: TE5220 V1

Temporal series or chronological series

Author: Michel PRENAT

Publication date: August 10, 2012, Review date: January 6, 2020

You do not have access to this resource.
Click here to request your free trial access!

Already subscribed? Log in!

Français

8. GARCH process

GARCH (Generalized Autoregressive Conditionaly Heteroskedastic) processes are mainly found in econometrics (stock price trends, for example), in which case they are applicable to periodic relative variations ("returns") of a quantity (a P t price, for example):

Rt=Pt−Pt−1Pt−1

The observation of such series suggests that extreme values (high or low), taken by the process in a given period, have consequences on the variance (higher or lower)...

You do not have access to this resource.

Exclusive to subscribers. 97% yet to be discovered!

You do not have access to this resource.
Click here to request your free trial access!

Already subscribed? Log in!

The Ultimate Scientific and Technical Reference

A Comprehensive Knowledge Base, with over 1,200 authors and 100 scientific advisors
+ More than 10,000 articles and 1,000 how-to sheets, over 800 new or updated articles every year
From design to prototyping, right through to industrialization, the reference for securing the development of your industrial projects

This article is included in

Signal processing and its applications

This offer includes:

Knowledge Base

Updated and enriched with articles validated by our scientific committees

Services

A set of exclusive tools to complement the resources

Practical Path

Operational and didactic, to guarantee the acquisition of transversal skills

Doc & Quiz

Interactive articles with quizzes, for constructive reading

Subscribe now!

Ongoing reading
GARCH process
Outline