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A. Bashir has written:

'A review of autoregressive conditional heteroscedastic (arch)times series models'

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A. Bashir has written:

'A review of autoregressive conditional heteroscedastic (arch)times series models'

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Heteroskedasticity is when the standard deviation of a variable is inconsistent when measured several times over a period of time.

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An autoregressive exogenous model

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Yes, if it is autoregressive.

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The term means "differing variance" and comes from the Greek "hetero" ('different') and "skedasis" ('dispersion').

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