Volatility Modeling: GARCH Processes in R

แชร์
ฝัง
  • เผยแพร่เมื่อ 1 ธ.ค. 2019
  • 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...

ความคิดเห็น •