Page 1 of 1

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 6:20 pm
by CTD
Certainly, it was developed to model market vol, but given it IS fundamentally an econometric/statistical model as opposed to an exclusively financial model, has it been applied anywhere outside of financial markets?

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 7:00 pm
by Alan
Engle's first ARCH paper was about modelling inflation in the UK. But I suspect by nowthere have been many applications outside anything even remotely part of finance -- why don'tyou google for some interesting ones and let us know.

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 9:26 pm
by CTD
Did and couldn't find a one...hence my query.

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 9:47 pm
by Alan
Took me two minutes to find this one

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 10:30 pm
by msperlin
QuoteOriginally posted by: CTDCertainly, it was developed to model market vol, but given it IS fundamentally an econometric/statistical model as opposed to an exclusively financial model, has it been applied anywhere outside of financial markets?I think the main contribution of the garch specification was to model the time varying distribution of the process by assigning a particular autoregressive filter (e.g. the variance equation) to it. I wouuld be suprised if such time varying distributions would only happen in datasets of finance, in this case log returns.

Has anyone heard of GARCH being applied to modeling outside of finance?

Posted: November 19th, 2008, 11:04 pm
by aiQUANT
You find garch-type models in areas of wireless communication and speech recognition.