Granger Causality

a) ARCH Model (Autoregressive Conditional Heteroskedasticity) The ARCH model, introduced by Robert Engle in 1982, is used to model and forecast time-varying volatility in time series data, especially in financial markets where periods of high and low volatility alternate. Key Features: Conditional heteroskedasticity: The variance of the error term depends on past squared errors. Captures […]