Lecture 8

12 Abril 2023, 18:00 • Nuno Sobreira

Class solving exercises about univariate GARCH models.

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Lecture 7

29 Março 2023, 18:00 • Nuno Sobreira

Class solving exercises about univariate GARCH models.

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Lecture 6

22 Março 2023, 18:00 • Nuno Sobreira

Univariate volatility time series models. The IGARCH model and RiskMetrics. Model diagnostic checking. Forecasting with GARCH models. Evaluating the forecasting accuracy of volatility time series models. Some precautions to take when comparing GARCH forecasts.  Estimation by ML. Extensions of GARCH models: alternative distributions for standardized errors. Applications in R and EViews. 

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Lecture 5

15 Março 2023, 18:00 • Nuno Sobreira

Chapter 3 - Univariate volatility time series models. ARCH and GARCH processes: main properties. Diagnostic checking of the standardized residuals. Applications in R. 

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Lecture 4

8 Março 2023, 18:00 • Nuno Sobreira

Chapter 3 - Univariate volatility time series models. Motivating examples which emphasize the need for this class of models. Reasoning behind the ARCH/GARCH equations. Introduction to ARCH processes

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