Volatility Modeling: GARCH Processes in R
ฝัง
- เผยแพร่เมื่อ 12 พ.ย. 2024
- Using monthly exchange-rate data, we use the "rugarch" package to estimate a GARCH(1,1) process off of an AR(1) mean equation. We then compare the resulting volatility series with one calculated using an Exponential GARCH model.
Tutorial available at github.com/heg...
Data and more information available at github.com/heg...