ARCH and GARCH models directly address the dependency of conditional second moments, and have proved particularly valuable in modelling processes where a relatively large degree of fluctuation is ...

Autoregressive conditional heteroskedasticity is a time-series statistical model used to analyze volatility in high frequency data.

Liang Peng, Qiwei Yao, Least Absolute Deviations Estimation for ARCH and GARCH Models, Biometrika, Vol. 90, No. 4 (Dec., 2003), pp. 967-975 ...