The Generalized Autoregressive Conditional Heteroscedastic model of order p,q, also known as GARCH (p,q), is a time series model that takes into account volatility, an important characteristic of financial data (e.g. volatility of asset returns). Forecasting volatility is useful in financial risk assessment.

The GARCH function implemented in XLSTAT-R calls the garch function of the tseries library (Adrian Trapletti, Kurt Hornik). It fits a GARCH model to time series by computing the maximum-likelihood estimates of the conditionally normal model.


About KCS

Kovach Computing Services (KCS) was founded in 1993 by Dr. Warren Kovach. The company specializes in the development and marketing of inexpensive and easy-to-use statistical software for scientists, as well as in data analysis consulting.

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