Time Series Analysis, Stochastic Process, Volatility, Data Science.
GARCH(1,1) volatility model — Reference: Author Sorry, that was a little bit too much math :) — Let's unpack the above equations: “r_t” in the above equation is “return” at time t “r_t” is composed of two terms, μ_t and ϵ_t. μ_t is a term that estimates the mean of the process, mostly, it is