ARCH model - volatility persistence in time series (Excel)
Autoregressive conditional hereroskedasticity (ARCH) is very common in financial and macroeconomic time series. How one can model such volatility processes? One of the techniques is the ARCH model proposed by Robert Engle in 1982. Today we will learn how to apply it in Excel and how to interpret its results. Econometrics is easy with NEDL!
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