Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation.¶
Engle, R. F. (1982). Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50(4), 987-1007.
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2 citations across 2 artifacts.
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Primes¶
- Calibrated Rule versus Moving World
- In finance, trading signals and risk models decay: an alpha that worked is arbitraged away or rendered obsolete by a regime change, a hedging model calibrated in a calm regime fails in a crisis when correlations move, and a credit model fitted before a recession misprices risk after one — the discipline of model validation and re-estimation exists because the market is non-stationary and a calibrated model is a depreciating asset.
This sourceFoundational treatment of time-varying conditional variance — the non-stationarity that makes financial models depreciating assets requiring re-estimation.
- In finance, trading signals and risk models decay: an alpha that worked is arbitraged away or rendered obsolete by a regime change, a hedging model calibrated in a calm regime fails in a crisis when correlations move, and a credit model fitted before a recession misprices risk after one — the discipline of model validation and re-estimation exists because the market is non-stationary and a calibrated model is a depreciating asset.
Mechanisms¶
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