1. 1 Arch-Garch Lab Nine

2. 2 Producer Price Index for Finished Goods, 1982 =100, 1947.04 – 2008.04

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5. 5 Identification TraceHistogramCorrelogram Unit root test

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9. 9Model PACF: try an ARTHREE

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11. 11 Model Validation Model of mean, ser = 0.00496 –Actual, fitted, residual –Correlogram of residuals –Histogram of residuals –Serial correlation test

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16. 16 Alternative Model ARMA(1,1)

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18. 18 Model validation Model of Mean, ser = 0.00487 –Actual, fitted, residual –Correlogram of residuals –Histogram of residuals –Serial correlation test

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23. 23 Conditional heteroskedasticity? Trace of ressq Correlogram of residuals squared ARCH Lagrange Multiplier test

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27. 27 ARCH/GARCH Model

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29. 29 Model Validation

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35. 35 ARMA(1,1) Model, ARCH(1) GARCH(1)

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37. 37 ARCH-M?

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