[ \sigma_t^2 = \omega + \alpha \epsilon_t-1^2 + \beta \sigma_t-1^2 ]
Beyond the White Noise: Why Financial Markets Need ARCH and GARCH Models arch models
Big moves tend to be followed by big moves (in either direction), and quiet periods tend to be followed by quiet periods. If you plot the S&P 500 or Bitcoin returns, you don’t see random scatter. You see pockets of chaos and pockets of calm. [ \sigma_t^2 = \omega + \alpha \epsilon_t-1^2 +