Lecture 28

5 Maio 2023, 09:30 • Nuno Sobreira

Extensions of the benchmark GARCH model. Applications in R 

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Lecture 27

24 Abril 2023, 08:00 • Nuno Sobreira

Chapter 7 - Volatility time series models. Other diagnostic checking tools to study the (good) specification of the fitted model (QQplot,...). Forecasting with (G)ARCH processes. Evaluating the forecast accuracy of volatility time series models 

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Lecture 26

21 Abril 2023, 09:30 • Nuno Sobreira

Chapter 7 - volatility time series models. The Generalized ARCH models: main properties. Applications in R.

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Lecture 25

19 Abril 2023, 09:00 • Nuno Sobreira

Chapter 6 - Seasonality. SARIMA models. Applications of SARIMA models in R

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Lecture 24

17 Abril 2023, 08:00 • Nuno Sobreira

Chapter 6 - Seasonality. SARIMA models. Multiplicative models

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