Volatility Modeling: GARCH Processes in R

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  • 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...

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