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

CTD · November 19th, 2008, 6:20 pm

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?

Alan · November 19th, 2008, 7:00 pm

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.

CTD · November 19th, 2008, 9:26 pm

Did and couldn't find a one...hence my query.

Alan · November 19th, 2008, 9:47 pm

Took me two minutes to find this one

msperlin · November 19th, 2008, 10:30 pm

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.

aiQUANT · November 19th, 2008, 11:04 pm

You find garch-type models in areas of wireless communication and speech recognition.