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GARCH Models in R

Kris Boudt

Professor of finance and econometrics

Language of GARCH models

  • Volatility $ \sigma_t$ at its clusters
  • Information set and predictions
  • Mean, variance and distribution assumptions
  • Leverage effect and the GJR GARCH model
  • Skewness, fat tails and the skewed student t distribution
  • Model validation using the mean squared error, significance testing, standardized returns and Ljung-Box test
  • Applications to value-at-risk, dynamic beta calculation and optimization of financial portfolios
GARCH Models in R

Language of rugarch

  • ugarchspec()
  • ugarchfit()
  • ugarchroll()
  • ugarchforecast()
  • ugarchfilter()
  • ugarchpath()
  • Many useful methods sigma(), fitted(), coef(), infocriteria(), likelihood(), setfixed(), setbounds(), quantile()...
GARCH Models in R

@OptimizeRisk

GARCH Models in R

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