Tag Archives: heteroskedasticity

Hey! I made you some Wiener processes!

Check them out. Here are thirty homoskedastic ones: > homo.wiener <- array(0, c(100, 30))> for (j in 1:30) {  for (i in 2:length(homo.wiener)) {          homo.wiener[i,j] <-  homo.wiener[ i – 1, j] + rnorm(1)              … Continue reading

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GARCH stands for Generalized Autoregressive Conditional Heteroskedasticity. To translate, skedasticity refers to the volatility or wiggle of a time series. Heteroskedastic means that the wiggle itself tends to wiggle. Conditional means the wiggle of the wiggle depends on something else. … Continue reading

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