1 / 7

Exploring GARCH Models: A Martingale Difference Series Approach with Simulation in R

This document delves into GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models using a martingale difference series. It explores the theoretical aspects and practical implementation through R simulations, demonstrating how to generate a conditional variance structure in a time series. The provided code illustrates the simulation of the series and the resulting plots for data and conditional standard deviation. This analysis contributes to understanding volatility in time series data, particularly in finance, where such models are prevalent.

quinlan-kennedy
Télécharger la présentation

Exploring GARCH Models: A Martingale Difference Series Approach with Simulation in R

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. 6.4 GARCH models.

  2. A martingale difference series “Learning a potential function …”

  3. Cov not 0 generally

  4. postscript(file="arch.ps",paper="letter",hor=FALSE) par(mfrow=c(2,1)) library(tseries) set.seed(28112006) a0<-1;a1<-.75 ylast<-1;Y<-ylast Sig<-NULL for(i in 1:250){ sig2<-a0+a1*ylast**2 y<-sqrt(sig2)*rnorm(1) ylast<-y Y<-c(Y,y) Sig<-c(Sig,sqrt(sig2)) } plot(Y,type="l",main="Data",xlab="time",ylab="",las=1) plot(Sig,type="l",main="Sig",xlab="time",ylab="",las=1) acf(Y,main="acf of data",xlab="lag",ylab="",las=1) acf(Y**2,main="acf of data-squared",xlab="lag",ylab="",las=1) graphics.off()

More Related