ARCH models


Auto-Regressive Conditional Heteroskedasticity (ARCH) models


ARCH volatility GAUSS volatility


The left panel shows a sequence of the square of an ARCH variable versus time steps, for the case of mean unit variance. The right panel displays a sequence of the square of a Gaussian variable of unit variance. The probability distribution function of the ARCH variable has power-law tails (see e.g. [P79]).