Lecture

Long Memory and ARCH: Time Series

In course

Irure commodo quis duis eu. Ea occaecat et ad ad ad exercitation reprehenderit eu. Nostrud eu adipisicing sit duis eu fugiat non ullamco fugiat ea magna. Eu et aliqua culpa tempor pariatur. Qui voluptate minim irure eu cillum magna dolore nulla irure dolore culpa ex aute proident. Velit est cillum occaecat do veniam mollit dolore id dolore officia ullamco aliquip eiusmod ipsum. In deserunt officia esse nisi ullamco sit deserunt laborum ullamco amet qui dolor amet.

Description

This lecture covers the concept of long memory in time series, where the covariance decays polynomially, and ARCH models used in financial time series to model volatility clusters. Long memory is related to self-similar processes, while ARCH models capture changes in volatility. The lecture delves into the mathematical definitions, properties, and estimation methods of both long memory and ARCH models.

Instructor

et minim

Laborum proident aliquip nulla irure labore. Culpa consequat voluptate incididunt sit do ex ad ea aliquip. Commodo proident minim id mollit sint exercitation cillum incididunt veniam ullamco sunt magna dolor. Nisi veniam cupidatat dolor laborum qui aute dolor deserunt nulla et reprehenderit tempor. Reprehenderit aliqua culpa magna aliqua velit exercitation sit.

Official source

https://mediaspace.epfl.ch/media/0_mup7nthn

About this result

This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.

Ontological neighbourhood

Statistics

Data analysis: Time series, Regression analysis

Statistical inference: Mathematical statistics

Psychology

Basic psychology: Cognitive psychology

Related lectures (46)

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.