GARCH definition
Examples of GARCH in a sentence
To be conservative, instead of using portfolios that show clear asymmetric dependence, such as the smallest stock portfolio or momentum portfolios, etc., I use the 5th smallest value- weighted size portfolio and the market return to estimate copula and GARCH parameters.
In order to overcome this restrictiveness, innumerable extensions of these models have been proposed, with increasingly complex acronymcs: ARMA, GARMA, ARIMA, FARIMA, ARCH, GARCH, FIGARCH, NGARCH and so forth [16, 20, 2, 22, 4].
Hence, the principal component matrix of P is depicted by TXn matrix and is obtain from P = XnWn. The fourth step, is to estimate the conditional variance of the principle components ith pi, I = 1,N by using GARCH (1,1) method.
The method used in this research is the Orthogonal Generalized Autoregressive Conditional Heteroskedastic (OGARCH), the idea of using principal component analysis with univariate GARCH on all principal components was first issued by ▇▇▇▇ and ▇▇▇▇▇ (1994).
The OGARCH analysis which is a combination of GARCH and PCA, is used to acquire eigenvalue vector and eigenvalue through PCA.
According to ▇▇▇ (2011) the Orthogonal GARCH model works best with a series of correlated data.
Third, it investigates the transmission of changes and volatility in oil prices, as represented by NYMEX oil futures prices, to the individual GCC stock markets, using time-series techniques known as the vector error-correction models and the GARCH models [4].
From those data he conducted several analysis/test such as Principal Component Analysis (PCA), Generating positive semi-definite covariance matrices, and Applying GARCH (1.1) model in Excel.
From then on, he was able to forecast stock return by using GARCH (1.1) model.
Orthogonal GARCH model is used to analyze and summarize time series data that is not tied to each other by using Principal Component Analysis (PCA).