What is the logic behind the ARCH method for forecasting yield volatility?

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Introduction To Fixed Income Analytics

ISBN: 9780470572139

2nd Edition

Authors: Steven V. Mann, Frank J. Fabozzi

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Question Posted: Apr 30, 2024 01:01 AM

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What is the logic behind the ARCH method for forecasting yield volatility?

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The ARCH Autoregressive Conditional Heteroscedasticity method is a statistical technique used to mod...View the full answer

Introduction To Fixed Income Analytics

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