ARCH(1) model

26 Novembro 2019, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Test 2 revision

Introduction to volatility modelling

ARCH(1) model

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Test 2. Modeling procedure: Identification,estimation

21 Novembro 2019, 19:30 • Jorge Caiado

Test 2. Modeling procedure: Identification,estimation

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Test 2 + introduction to volatility

19 Novembro 2019, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Test 2

Volatility

Stylized facts of financial time series

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Linear nonstationary time series models

14 Novembro 2019, 19:30 • Jorge Caiado

Linear nonstationary time series models

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Unit Root Tests and forecasting AR processos

12 Novembro 2019, 18:00 • Nuno Paulo De Sousa Arrobas Crato

Unit roots: underdifferencing and overdifferencing

ADF tests

AR forecasting: levels and variance

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