generalized autoregressive conditional heteroskedasticity (GARCH)

Definition

A term coined by economist Robert Engle in 1982 to describe complex calculations used to estimate price fluctuations in financial markets and to predict inflation. The process involves comparing a set of variables to their own past behaviors over a series of time intervals to identify correlations and unexpected outcomes. The goal is to use past errors in forecasting to create greater accuracy in current forecasting.
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