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An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Prepared by Vera Tabakova, East Carolina University
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14.1 The ARCH Model 14.2 Time-Varying Volatility 14.3 Testing, Estimating and Forecasting 14.4 Extensions
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Conditional forecast
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Unconditional forecast
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Figure 14.1 Examples of Returns to Various Stock Indices
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Figure 14.2 Histograms of Returns to Various Stock Indices
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Figure 14.3 Simulated Examples of Constant and Time-Varying Variances
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Figure 14.4 Frequency Distributions of the Simulated Models
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14.3.1 Testing for ARCH effects
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Figure 14.5 Time Series and Histogram of Returns
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Figure 14.6 Plot of Conditional Variance
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Figure 14.7 Estimated Means and Variances of Various ARCH Models
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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
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