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johnnieb

10/09/03 10:24 AM

#159419 RE: Zeev Hed #159412

Yesterday's Nobel Prize winner for economics, Prof Engle (NYU) - "Traditional tools of analysis assumed that volatility was constant. The techniques Prof Engle developed, particularly autoregressive conditional heteroskedasticity (ARCH) models which predicted volatility would depend on its own behaviour in the past, are now widely employed by investors and financial institutions assessing the risk of portfolios."