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)