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)...
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GARCH process
Application example
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