MODELING CONDITIONAL VOLATILITY IN R

Authors

  • Omid Sabbaghi

Keywords:

financial econometrics, GARCH, volatility, forecasting

Abstract

Many economic and financial time-series exhibit time-varying volatility. In particular, volatility is an important input for pricing models and portfolio management decisions. This article demonstrates how to estimate volatility using the GARCH (1,1) modelthrough the R analytics software. In addition, this study demonstrates how to employ GARCH-based estimates for the purposes of forecasting volatility.

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Published

2020-06-19