GARCH(1,1): A First (and Closer) Look
1. Context
In this short video from FRM Part 1 curriculum, we take a first (and close) look at the Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model. We explore the need for the model (i.e. the improvements that this model presents over the EWMA model), the model formulation and the intuitive meaning of each of the parameters that enters the model. The details of the reading in which this topic appears are given below:
| Area | Quantitative Analysis |
| Reading | Volatility |
| Reference | John C. Hull, Chapter 10. Volatility In Risk Management and Financial Institutions, 4th Edition, (Hoboken, NJ: John Wiley & Sons, 2015). |