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)