Financial Econometrics II: Week 4
Slides¶
Univariate Volatility
Univariate Volatility (Print Optimized)
In-person Slides (pdf)
In-person Slides (web)
In-person Slides (Jupyter Notebook)
Data Files
Univariate Volatility Data (pandas HDF) used in the IPython notebook-based slides.
Practical Assignment 4¶
Due Friday 5th Week Hilary
Note: This assignment remains an individual assignment since it was not possible to change it to a group project before the deadline due to the complexity of University procedures.
Computational Assignment III
Demo Autograder (Jupyter Notebook)
Demo Autograder (Python)
Solutions Template
Weekly Assignment¶
Solutions
Practice Quiz¶
Oxford MFE Students only (Canvas)
Pre-lecture content¶
Reading
The readings listed correspond to the pre-recorded content. You should either watch the pre-recorded content or read the notes prior to the Week 4 lecture.
Sections 7.1-7.6 from the Univariate Volatility Notes
Presentation
Oxford MFE Students only (Canvas)
- Introduction
- ARCH Models
- ARCH Process Properties
- The Complete ARCH Model
- The GARCH Model
- EWMA Variance
- The GJR-GARCH Model
- The TARCH Model
- The EGARCH Model
- Asymmetric Power ARCH
- News Impact Curves
- Estimation and Inference
- Two-step Estimation
- GARCH-in-mean
- Alternative Distributional Assumptions
- Model Building and Specification Analysis