1 / 9

ARCH and GARCH

ARCH and GARCH. Modeling Volatility Dynamics. Modeling Unequal Variability. Equal Variability: Homoscedasticity Unequal Variability: Heteroscedasticity Means any variability (around the mean) that is not homoscedasticity Models must be developed for specific cases. What These Acronym Mean?.

liam
Download Presentation

ARCH and GARCH

An Image/Link below is provided (as is) to download presentation Download Policy: Content on the Website is provided to you AS IS for your information and personal use and may not be sold / licensed / shared on other websites without getting consent from its author. Content is provided to you AS IS for your information and personal use only. Download presentation by click this link. While downloading, if for some reason you are not able to download a presentation, the publisher may have deleted the file from their server. During download, if you can't get a presentation, the file might be deleted by the publisher.

E N D

Presentation Transcript

  1. ARCH and GARCH Modeling Volatility Dynamics

  2. Modeling Unequal Variability • Equal Variability: Homoscedasticity • Unequal Variability: Heteroscedasticity • Means any variability (around the mean) that is not homoscedasticity • Models must be developed for specific cases

  3. What These Acronym Mean? • ARCH • Autoregressive Conditional Heteroscedasticity • GARCH • Generalized ARCH

  4. Information in e2 • Let et have the mean 0 and the variance st. • Let et be the residual of a model fitted. • Then: • etestimates et • et2 estimates the variance st2.

  5. ARCH Modeling of st2. • ARCH(1) • ARCH as AR(1) on

  6. GARCH • GARCH(1) • GARCH (1) as ARMA(1,1) on

  7. Asymmetry in GARCH - TARCH • TARCH(1,1) • d = 1 ifet < 0, and= 0 if et > 0

  8. Asymmetry in GARCH - EGARCH • EGARCH(1,1)

  9. Eviews Command ARCH(p, q) series_name c

More Related