AR, ARMA, ARCH, GARCH Model

 

AR (1)

time-series today = f [(coefficient time series previous day) + (random error today)]  

ARMA(1,1) = AR(1) + MA(1)

time-series today  = f [(time series previous day) + (coefficient random error previous day) + (random error today)]

ARCH (1,1)    

time-series today  = f [(random error today)  (volatility today <= time series previous day)] 

Bursty need solution :

GARCH (1,1)

time-series today  = f [(random error today)  (volatility today <= time series previous day + volatility previous day)]

  

Sumber:

https://www.youtube.com/watch?v=inoBpq1UEn4