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The Generalised Autoregressive Conditional Heteroskedasticity (GARCH) model is an extension of the ARCH model introduced by Engle to model time-varying volatility in financial and economic time series. While the basic ARCH model assumes that the current conditional variance depends only on past squared errors, GARCH generalizes this by allowing the conditional variance to depend on both past squared errors and past conditional ________ ____ ____ ____ _______ _______ ____ _________ _______ ___.
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