Autoregressive conditional heteroskedasticity is a time-series statistical model used to analyze volatility in high frequency data.

We use a discrete-time analysis, giving necessary and sufficient conditions for the almost-sure convergence of ARCH (1) and GARCH (1, 1) discrete-time models, to suggest an extension of the ARCH and ...

ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is ...