AI engineering glossary · Time series recsys
What is GARCH (GARCH model)?
GARCH model (also called GARCH): A generalisation of ARCH in which today's variance depends on recent squared shocks and on recent variances. It fits volatility that is persistent, and is standard in finance for risk measures.
GARCH model: an example
GARCH(1,1): variance_t = w + a*shock_(t-1)^2 + b*variance_(t-1).
Related terms
- ARCH model
- Volatility clustering
- Heteroskedasticity
- Forecasting
More Time series recsys terms
- Granger causality
- GRU4Rec
- Hierarchical forecasting
- Holiday effect
- Holt's linear method
- Holt-Winters method
- Hybrid recommender
- Intermittent demand
Where you learn it
GARCH 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.