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