Financial word of the day: Heteroscedasticity — meaning, usage, and why it matters more than ever

Financial word of the day: Heteroscedasticity describes a situation where risk (variance) changes with the level of a ...
JSTOR Daily

Conditional Heteroscedasticity in Qualitative Response Models of Time Series: A Gibbs-Sampling Approach to the Bank Prime Rate

Previous time series applications of qualitative response models have ignored features of the data, such as conditional heteroscedasticity, that are routinely addressed in time series econometrics of ...
Investopedia

Heteroscedasticity Explained: Definition, Types, and Impact on Finance

Adam Hayes, Ph.D., CFA, is a financial writer with 15+ years Wall Street experience as a derivatives trader. Besides his extensive derivative trading expertise, Adam is an expert in economics and ...
JSTOR Daily

Type I Errors after Preliminary Tests for Heteroscedasticity

Testing for heteroscedasticity is a common diagnostic practice in regression analysis. Depending upon the outcome of the test, the model is either estimated by OLS or WLS. The results of a Monte Carlo ...
Simon Fraser University

Testing for Heteroscedasticity

One of the key assumptions of the ordinary regression model is that the errors have the same variance throughout the sample. This is also called the homoscedasticity ...
Risk

Generalised autoregressive conditional heteroscedasticity (Garch)

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Risk

A two-component realized exponential generalized autoregressive conditional heteroscedasticity model

Abstract This paper proposes a two-component realized exponential generalized autoregressive conditional heteroscedasticity (EGARCH) model – an extension of the realized EGARCH model – for the joint ...