1. A method for compressing heteroscedastic data, said method comprising: obtaining said heteroscedastic data; applying said heteroscedastic data to an Autoregressive Integrated Moving Average (ARIMA)-Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model; determining residuals between said obtained heteroscedastic data and said ARIMA-GARCH model; and compressing parameters of said ARIMA-GARCH model and said residuals using entropy encoding to generate compressed residual data.