Autoregressive

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Definition: Autoregressive



Full Definition of Autoregressive


Autoregressive is a stochastic process that can be described by a weighted sum of its previous values and a white noise error. An autoregressive process operates under the premise that past values have an effect on current values.

Autoregressive Conditional Heteroskedasticity (ARCH) models assume that the variance of the current error term is related to the size of the previous periods’ error terms, giving rise to volatility clustering. This phenomenon is widely observable in financial markets, where periods of low volatility are followed by periods of high volatility and vice versa.

Autoregressive Moving Average Model (ARMA) is a tool for understanding and, perhaps, predicting future values of autocorrelated time series data series. consists of two parts, an autoregressive (AR) part and a moving average (MA) part.


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Definition Sources


Definitions for Autoregressive are sourced/syndicated and enhanced from:

  • A Dictionary of Economics (Oxford Quick Reference)
  • Oxford Dictionary Of Accounting
  • Oxford Dictionary Of Business & Management

This glossary post was last updated: 23rd March, 2020 | 0 Views.