8. GARCH process

GARCH (Generalized Autoregressive Conditionaly Heteroskedastic) processes are mainly found in econometrics (stock price trends, for example), in which case they are applicable to periodic relative variations ("returns") of a quantity (a P _t price, for example):

The observation of such series suggests that extreme values (high or low), taken by the process in a given period, have consequences on the variance (higher or lower)...