CAIA Chapter 3: Statistical Foundations
Statistical Foundations
Statistical Foundations
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| Cartes-fiches | 43 |
|---|---|
| Langue | English |
| Catégorie | Finances |
| Niveau | Université |
| Crée / Actualisé | 17.12.2014 / 16.06.2019 |
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GARCH generalized autroregressive conditional heteroskedasticity:
in the context of financial returns GARCH is a robust methodology that can model return variation through time in a way that allows that variation to change based on the variable's past history &even when some conditions such as price levels havn't chang
return computation interval
for a particular analysis is the smallest time interval for which returns are calculated, such as daily, monthly or even annually.
Volatility
in investment terminology, the standard deviation of returns is often termed the volatility.
