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Chapter 14

An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models. Chapter 14. Prepared by Vera Tabakova, East Carolina University. Chapter 14: An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models. 14.1 The ARCH Model

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Chapter 14

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  1. An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Chapter14 Prepared by Vera Tabakova, East Carolina University

  2. Chapter 14: An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models • 14.1 The ARCH Model • 14.2 Time-Varying Volatility • 14.3 Testing, Estimating and Forecasting • 14.4 Extensions Principles of Econometrics, 3rd Edition

  3. 14.1 The Arch Model Principles of Econometrics, 3rd Edition

  4. 14.1 The Arch Model Principles of Econometrics, 3rd Edition

  5. 14.1.1 Conditional and Unconditional Forecasts • Conditional forecast Principles of Econometrics, 3rd Edition

  6. 14.1.1 Conditional and Unconditional Forecasts • Unconditional forecast Principles of Econometrics, 3rd Edition

  7. 14.1.1 Conditional and Unconditional Forecasts Principles of Econometrics, 3rd Edition

  8. 14.2 Time Varying Volatility Figure 14.1 Examples of Returns to Various Stock Indices Principles of Econometrics, 3rd Edition

  9. 14.2 Time Varying Volatility Figure 14.2 Histograms of Returns to Various Stock Indices Principles of Econometrics, 3rd Edition

  10. 14.2 Time Varying Volatility Figure 14.3 Simulated Examples of Constant and Time-Varying Variances Principles of Econometrics, 3rd Edition

  11. 14.2 Time Varying Volatility Figure 14.4 Frequency Distributions of the Simulated Models Principles of Econometrics, 3rd Edition

  12. 14.3 Testing, Estimating and Forecasting • 14.3.1 Testing for ARCH effects Principles of Econometrics, 3rd Edition

  13. 14.3 Testing, Estimating and Forecasting Figure 14.5 Time Series and Histogram of Returns Principles of Econometrics, 3rd Edition

  14. 14.3.2 Estimating ARCH Models Principles of Econometrics, 3rd Edition

  15. 14.3.3 Forecasting Volatility Principles of Econometrics, 3rd Edition

  16. 14.3.3 Forecasting Volatility Figure 14.6 Plot of Conditional Variance Principles of Econometrics, 3rd Edition

  17. 14.4 Extensions Principles of Econometrics, 3rd Edition

  18. 14.4.1 The GARCH Model - Generalized ARCH Principles of Econometrics, 3rd Edition

  19. 14.4.1 The GARCH Model - Generalized ARCH Principles of Econometrics, 3rd Edition

  20. 14.4.1 The GARCH Model - Generalized ARCH Figure 14.7 Estimated Means and Variances of Various ARCH Models Principles of Econometrics, 3rd Edition

  21. 14.4.2 Allowing for an Asymmetric Effect Principles of Econometrics, 3rd Edition

  22. 14.4.2 Allowing for an Asymmetric Effect Principles of Econometrics, 3rd Edition

  23. 14.4.3 GARCH-in-Mean and Time-varying Risk Premium Principles of Econometrics, 3rd Edition

  24. 14.4.3 GARCH-in-Mean and Time-varying Risk Premium Principles of Econometrics, 3rd Edition

  25. Keywords • ARCH • Conditional and Unconditional Forecasts • Conditionally normal • GARCH • ARCH-in-mean and GARCH-in-mean • T-ARCH and T-GARCH • Time-varying variance Principles of Econometrics, 3rd Edition

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