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by CariocaBruce
December 26th, 2007, 5:38 pm
Forum: Technical Forum
Topic: advantage of garch over arch
Replies: 5
Views: 65047

advantage of garch over arch

Not 100% sure I got it right here, but I believe GARCH can accomodate exogenous variables in accounting for changes in volatility, whereas ARCH merely uses lagged values of previous volatility to predict future volatility.
by CariocaBruce
December 7th, 2007, 3:09 pm
Forum: The Quantitative Finance FAQs Project
Topic: What is hedging?
Replies: 33
Views: 244088

What is hedging?

<t>So is diversification a type of hedging? Or is hedging a specific type of diversification? Or are hedging and diversification different things?I tend to think of hedging as something you do to protect against a specific known risk (I know that interest rates can change, but I want the credit spre...