AI engineering glossary · Time series recsys
What is ARCH model?
ARCH model (also called Autoregressive conditional heteroskedasticity): A model in which the variance of today's shock depends on the size of recent shocks, allowing volatility to change over time. It was introduced for economic data where calm and turbulent periods alternate.
ARCH model: an example
After a large market move, the model predicts a larger expected move tomorrow.
Related terms
- GARCH model
- Volatility clustering
- Heteroskedasticity
- Autoregressive model
More Time series recsys terms
- ARIMA
- ARIMAX
- ARMA
- Augmented Dickey-Fuller test
- Autocorrelation
- Autocorrelation function
- Backtesting
- Bayesian personalised ranking
Where you learn it
ARCH model is part of the AI Engineering Program, which teaches it with notes, a hands-on lab and an exam. The first lesson is free.