Talk:Autoregressive conditional heteroskedasticity

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Alessio Farhadi in the external link (ARCH and GARCH models for forecasting volatility, quantnotes.com) does not seem to follow the more conventional notation that a GARCH(p,q) process has p GARCH terms and q ARCH terms, and not viceversa. These links support the notation I have introduced: [1], [2], [3]. The application EViews has the command "arch(p,q)" which uses the convention used by Fahardi (for what I would call a GARCH(q,p)), but even the new versions (>5) have a note "Note the order of the arguments in which the ARCH and GARCH terms are entered, which gives precedence to the ARCH term.", presumably because this is not the standard convention, and it is not even the convention used in their own help file describing GARCH models. (It might even be the case that confounding the order of the terms is a common mistake.)

In my opinion the P Q order is not important given that the formula is specified. However links to similar methods (Locally Stationary Wavelets of Nason for example) should be referenced. There is also no example application or detailed explaination. This should not only be linked to economics but also to mathematics (via statistics). I can also see no consideration of the assumed distribution, ML estimation for GARCH models is often improved assuming a students t distribution as apposed to a guassian distribution. D M —Preceding unsigned comment added by 137.222.243.9 (talk) 18:45, August 28, 2007 (UTC)

How is GARCH pronounced aloud? Perhaps someone could add it to the page. —Preceding unsigned comment added by 164.76.125.101 (talk) 14:48, 7 April 2008 (UTC)

Generally, when testing for heteroskedasticity in econometric models, the best test is the White test. However, when dealing with time series data, there means to test for ARCH errors (as described above) and GARCH errors (below).

There is something wrong with the second sentence here, and I can't tell what it trying to say.