Lecture 26

29 Abril 2025, 08:00 • Nuno Sobreira

Volatility time series models. GARCH models. Diagnostic checking of the residuals. Forecasting with GARCH models.

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Lecture 25

28 Abril 2025, 08:00 • Nuno Sobreira

Volatility time series models. ARCH and GARCH models. Main properties of this class of models. Applications in R. 

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Lecture 24

24 Abril 2025, 11:00 • Nuno Sobreira

Volatility time series models. Main empirical patterns of financial time series. Model structure of ARCH models. Reasoning behind the equations that characterize this class of models.

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Lecture 23

23 Abril 2025, 08:00 • Nuno Sobreira

Chapter 6 - Seasonality. Seasonal ARIMA models. Empirical applications in R. Introduction to financial time series. Using R to import financial time series data and perform initial analyses.

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Lecture 22

22 Abril 2025, 11:00 • Nuno Sobreira

Chapter 6 - Seasonality. Seasonal ARIMA models. The General multiplicative model: motivation and several examples

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