Volatility Modeling: GARCH Processes in R
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- Опубликовано: 1 дек 2019
- Using monthly exchange-rate data, we use the "rugarch" package to estimate a GARCH(1,1) process off of an AR(1) mean equation. We then compare the resulting volatility series with one calculated using an Exponential GARCH model.
Tutorial available at github.com/heg...
Data and more information available at github.com/heg...