'Arch models' presentation slideshows

Supervisor: Professor Moisa Altar

546 views • 38 slides

Student : Becar Iuliana Supervisor: Professor Moisa Altar

DISSERTATION PAPER Modeling and F orecasting the V olatility of the EUR / ROL E xchange R ate U sing GARCH M odels. Student : Becar Iuliana Supervisor: Professor Moisa Altar. Table of Contents. The importance of forecasting exchange rate volatility. Data description.

504 views • 37 slides

Volatility

Volatility. Chapter 10. Motivation:. Until the early 80s econometrics had focused almost solely on modeling the means of series, i.e. their actual values. Recently however we have focused increasingly on the importance of volatility, its determinates and its effects on mean values.

380 views • 37 slides

Correlation Measures

Correlation Measures. Intuition: Correlation Measures seek to quantify statistically how closely related variables are. Correlation Limitations. Covariance stationarity for a time series, y(t), is defined as: Constant, finite mean Constant, finite variance

303 views • 29 slides

Estimating Value at Risk via Markov Switching ARCH models

Estimating Value at Risk via Markov Switching ARCH models. An Empirical Study on Stock Index Returns. Value at Risk (hereafter, VaR) is at the center of the recent interest in the risk management field. Bank for International Settlements (BIS)

382 views • 28 slides

Chapter 14

An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models. Chapter 14. Prepared by Vera Tabakova, East Carolina University. Chapter 14: An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models. 14.1 The ARCH Model

623 views • 25 slides

GARCH Models and Asymmetric GARCH models

422 views • 23 slides

CHAPTER 15

CHAPTER 15. ASSET PRICE VOLATILITY: THE ARCH AND GARCH MODELS. VOLATILITY CLUSTERING. Volatility Clustering : Periods of turbulence in which prices show wide swings and periods of tranquility in which there is relative calm.

391 views • 8 slides

CHAPTER 15

CHAPTER 15. ASSET PRICE VOLATILITY: THE ARCH AND GARCH MODELS. VOLATILITY CLUSTERING. Volatility Clustering : Periods of turbulence in which prices show wide swings and periods of tranquility in which there is relative calm.

88 views • 8 slides