# 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