How to use arch and garch models in measuring volatility ?

More Govindraj Mane's questions See All

Salut, peut on faire une évaluation prospective de l'impact de l'exploitation du pétrole sur la pollution atmosphérique à l'aide de la Télédétection?

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Please, could anyone help me regarding the Gaussian 09 optimization error?

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Which XRD peak(s) must be taken into account?

For my perovskite material I have got this XRD pattern (see the attachment). The baseline subtraction has already been done but still the prominent peaks are not arising from the baseline. I want...

11 January 2024 6,788 6 View

I am working on research related to fMRI. Can I simulated data for fMRI experiment for the validation of my newly proposed method?

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17 October 2023 2,817 0 View

I am reading about Design of Experiment related work in fMRI experiment. Which researcher I must follow?

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How to corelate the Species Richness data with the Spatial Temporal varations data with parameters like Rainfall, Temperature, Land Use & land cover ?

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How to simulate fMRI data?

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How do i interprete the results of ARIMA, GARCH and ANN with the aim of comparing their performance in forecasting prices?

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Does anybody have the R Codes for Multivariate VAR-BEKK-GARCH Model ?

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GARCH-MIDAS estimation's ?

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Future research in biosensor?

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Do you know which is the best package to conduct a bivariate GARCH in R?

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Exchange rate volatility and it's implications ?

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For copula modeling of time series data, why are standardized residuals of fitted ARIMA/GARCH required instead of directly using time series data?

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Sergio Zuniga-Jara

You should to choose an econometric software packake, and follow the steps in the manual, regarding the numerical examples.

My first recommendation is Winrats from Estima, and the manual of Enders included.

Regards,

Ignatius Roni Setyawan

As previously, it can use the econometric software such asa Eviews or Oxmetric. What is important is the concept of ARCH & GARCH not just related software.

Govindraj Mane

Thank you Thomas Walther, Sergio Zuniga-Jara and Ignatius Roni Setyawan for your valuable suggestions. I will surly consider all your recommendations

Amira Akl Ahmed

I highly recommend you to study the following textbook.

Brooks, C., 2002, Introductory Econometrics for Finance, 2nd edition, Cambridge University Press.

It is very easy to follow. Sample instructions and output from the popular computer package EViews will enable you to implement volatility models themselves and understand how to interpret results.

http://rum.prf.jcu.cz/public/mecirova/eng_ekonomka/Chris_Brooks_Introductory_Econometrics_for_Fina.pdf