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MFE Financial Econometrics II: Week 4

Teaching material from Week 4.

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.

Executing code in jupyter slides

See the instructions for installing the mfe package to install some function used in the 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

Week 4 Assignment

Solutions

Week 4 Assignment Solution

Practice Quiz

Oxford MFE Students only (Canvas)

Week 4 Quiz

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)

  1. Introduction
  2. ARCH Models
  3. ARCH Process Properties
  4. The Complete ARCH Model
  5. The GARCH Model
  6. EWMA Variance
  7. The GJR-GARCH Model
  8. The TARCH Model
  9. The EGARCH Model
  10. Asymmetric Power ARCH
  11. News Impact Curves
  12. Estimation and Inference
  13. Two-step Estimation
  14. GARCH-in-mean
  15. Alternative Distributional Assumptions
  16. Model Building and Specification Analysis