An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Prepared by Vera Tabakova, East Carolina University

 14.1 The ARCH Model  14.2 Time-Varying Volatility  14.3 Testing, Estimating and Forecasting  14.4 Extensions

 Conditional forecast

 Unconditional forecast

Figure 14.1 Examples of Returns to Various Stock Indices

Figure 14.2 Histograms of Returns to Various Stock Indices

Figure 14.3 Simulated Examples of Constant and Time-Varying Variances

Figure 14.4 Frequency Distributions of the Simulated Models

 Testing for ARCH effects

Figure 14.5 Time Series and Histogram of Returns

Figure 14.6 Plot of Conditional Variance

Figure 14.7 Estimated Means and Variances of Various ARCH Models

Slide 14-25Principles of Econometrics, 3rd Edition  ARCH  Conditional and Unconditional Forecasts  Conditionally normal  GARCH  ARCH-in-mean and GARCH-in- mean  T-ARCH and T-GARCH  Time-varying variance