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Estimation of a Multivariate Model
Estimating multivariate GARCH (MGARCH) models involves determining parameter values that best fit...
Personal Finance
What is Personal Finance? Personal finance refers to the management of an individual's financial ...
VECH, Diagonal VECH, and BEKK Models
Specific MGARCH Specifications The VECH, Diagonal VECH, and BEKK models are three essential types...
Multivariate GARCH (MGARCH) Models
Multivariate GARCH (MGARCH) models are extensions of univariate GARCH models designed to model t...
Introduction to Modelling Volatility and Correlations
While univariate GARCH models focus on modeling the volatility of a single asset, multivariate G...
Numericals
These calculations give us a basic understanding of how volatility is forecasted using a GA...
Forecasting with GARCH Models
Introduction to Forecasting with GARCH Models One of the primary uses of GARCH models is forecas...
Estimation of GARCH Models
The estimation of GARCH (Generalized Autoregressive Conditional Heteroskedasticity) models invol...
Numerical
Generalized Autoregressive Conditional Heteroscedasticity (GARCH) Models
GARCH models, introduced by Bollerslev (1986), are an extension of ARCH models that allow the co...
Numerical Example
Comparison: With a positive return yesterday (2%), today's conditional variance was 0.000...
Autoregressive Conditional Heteroscedasticity (ARCH) Models
ARCH models, introduced by Engle (1982), are a class of statistical models for time series data ...
Numerical Example
EWMA Volatility Calculation Step 1: Given Data Decay factor (λ): 0.94 Yesterday's estimated va...
Introduction to Modelling Volatility
Volatility, a measure of the dispersion of returns for a given security or market index, is a ke...
The Box-Jenkins Approach
A Methodology for Time Series Modeling The Box-Jenkins approach, also known as the ARIMA (Autoreg...
Numerical Problem
Identifying and Estimating an ARMA Model Suppose you have the following sample autocorrelations (...
Autoregressive (AR), Moving Average (MA), and ARMA Processes
These models are fundamental building blocks in time series analysis. They describe the evolutio...
Real life Example
Analyzing and Modeling a Stock's Daily Returns Suppose you have a time series of daily continuous...
Introduction to Univariate Time Series
A time series is a sequence of data points, measured typically at successive points in time or o...
Empirical Properties of Financial Returns
Financial returns exhibit several stylized facts, or empirical properties, that distinguish them...