Home >  Term: Auto-Regressive Conditional Heteroskedasticity (ARCH)
Auto-Regressive Conditional Heteroskedasticity (ARCH)

A nonlinear stochastic process, where the variance is time-varying, and a function of the past variance. ARCH processes have frequency distributions which have high peaks at the mean and fat-tails, much like fractal distributions. The generalised ARCH (GARCH) model is also widely used. See: Fractal Distributions.

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