ARCH/GARCH Models in Applied Financial Econometrics

Volatility is a key parameter used inmany financial applications, from derivativesvaluation to assetmanagement and risk management. Volatilitymeasures the sizeof the errors made in modeling returns and other financial variables. It was discoveredthat, for vast classes of models, the average size of volatility is not constant butchanges with time and is predictable. Autoregressive c..