Univariate Volatility Modeling
¶
Kevin Sheppard
¶
Topic Outline
¶
Visualizing Conditional Volatility
Testing for Conditional Volatility
ARCH Models
GARCH Models
Asymmetric Extensions
Model Building
Specification Checking
Alternative Distributional Assumptions
Data
¶
S&P 500 Returns
¶
In [3]:
plot
(
sp500
)
Simulated IID $t_6$ Data
¶
In [4]:
plot
(
iid
)
FTSE 200
¶
In [5]:
plot
(
ftse100
)
GOLD Fixing Price
¶
In [6]:
plot
(
gold
)