GARCH
Units & Measurements abbreviation · Statistics
| Stands for | Generalized autoregressive conditional heteroskedasticity |
|---|---|
| Categories | Units & Measurements |
GARCH stands for Generalized autoregressive conditional heteroskedasticity, a statistics abbreviation.
A time-series model for volatility that changes over time, capturing the tendency of large price swings to cluster together. It is widely used in financial risk management and option pricing.
Example: A GARCH(1,1) model shows volatility spiking after the market shock and decaying over several weeks.
Usage notes
Robert Engle introduced the ARCH model in 1982, earning a share of the 2003 Nobel Memorial Prize in Economic Sciences, and Tim Bollerslev generalized it to GARCH in 1986. Variants such as EGARCH and GJR-GARCH allow bad news to raise volatility more than good news.
Related abbreviations
More statistics abbreviations
- EDA – Exploratory data analysis
- EFA – Exploratory factor analysis
- EM – Expectation-maximization
- F – F-statistic
- FDR – False discovery rate
- FPR – False positive rate
- GLM – Generalized linear model
- H0 – Null hypothesis
- H1 – Alternative hypothesis
- HR – Hazard ratio
- ICC – Intraclass correlation coefficient
- iid – Independent and identically distributed