'Conditional heteroskedasticity' diaporamas de présentation

Econ 240C

Econ 240C. Lecture 14. ARCH-GARCH Structure?. Outline. Part I: Conditional Heteroskedasticity: example Part II: Detecting ARCH Part III: Modeling ARCH & GARCH Part IV: Estimating GARCH. Part I. Conditional Heteroskedasticity. An Example. Producer Price Index for Finished Goods

1.44k views • 121 slides

Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model

690 views • 55 slides

Chapter 14 Time-Varying Volatility and ARCH Models

Chapter 14 Time-Varying Volatility and ARCH Models. Walter R. Paczkowski Rutgers University. Chapter Contents. 14.1 The ARCH Model 14.2 Time-Varying Volatility 14 .3 Testing, Estimating, and Forecasting 14 .4 Extensions.

682 views • 39 slides

Arch-Garch

708 views • 38 slides

Binary Regression Models

Binary Regression Models. Binary Models. In a number of contexts the dependent variable, Y, is nominal and binary Examples: Does a consumer Buy or Not Buy? Did the Dow go Up or down? Was a loan application accepted?. Binary Models.

274 views • 15 slides