ARCH A category of conditionally heteroskedastic
stochastic processes.
autoregressive
moving-average process A type of stochastic process.
autoregressive
process A type of stochastic process.
heteroskedasticity A condition where a stochastic process has
non-constant second moments.
random
walk A discrete stochastic process whose increments form a
white noise.
stochastic volatility
model
A category of conditionally heteroskedastic
stochastic processes.
time series and
stochastic processes An introductory article.
volatility
A metric of variability in a stochastic process.
white
noise A simple form of stochastic process.
are n
n
matrices, and W is n-dimensional
Below
are indicated a realization of 50
consecutive terms of a variance 1
