Time Series Analysis, Stochastic Process, Volatility, Data Science.
conditional volatility is denoted E_{t}[σ_t]. In this article, I will use and give example of one of the most-used volatility models, named “Generalized Autoregressive Conditional Heteroskedasticity” in short GARCH. A GARCH(1,1) process is defined as: Equation 1 : Mathematical description of