Mathematics in Engineering
Vol. 39 No. 01 (2024): Proceedings of Faculty of Technical Sciences
CONDITIONAL HETEROSKEDASTIC MODELS FOR TIME SERIES VOLATILITY ESTIMATION
- Јелена Ердељан
- Јелена Иветић
Abstract
The paper presents ARCH and GARCH models for modelling and forecasting the volatility of time series, as well as some of their modifications. The application of these models to a real dataset of the Bitcoin cryptocurrency time series is demonstrated.
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