Spatial Autoregressive Conditional Heteroskedasticity Models
Spatial Autoregressive Conditional Heteroskedasticity Models
This study proposes a spatial extension of time series autoregressive conditional heteroskedasticity (ARCH) models to those for areal data.We call the spatially extended ARCH models as spatial ARCH (S-ARCH) models.S-ARCH models specify conditional variances given surrounding observations, which constitutes a good contrast with time series ARCH models that specify conditional …