Lecture 27

15 Maio 2024, 08:00 • Nuno Sobreira

Chapter 7 - Volatility time series models. Comparing the forecasting accuracy of volatility time series models. Main extensions of the "standard" GARCH class of models.

---

Lecture 26

14 Maio 2024, 11:00 • Nuno Sobreira

Chapter 7 - Volatility time series models. Main diagnostic checking tools for the GARCH model class. Forecasting returns and volatilities based on GARCH models.

---

Lecture 25

10 Maio 2024, 09:30 • Nuno Sobreira

Chapter 7 - Volatility time series models. The GARCH model: motivation and main properties. Empirical applications with R. 

---

Lecture 24

8 Maio 2024, 08:00 • Nuno Sobreira

Chapter 7 - Volatility time series models. The ARCH model: motivation and main properties. Empirical applications.

---

Lecture 23

6 Maio 2024, 08:00 • Nuno Sobreira

Chapter 7 - Volatility time series models. Main empirical patterns of Financial Time Series.

---