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Practical Issues in the Analysis of Univariate GARCH Models

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Author Info
Eric Zivot (Department of Economics, University of Washington)
Abstract

This paper gives a tour through the empirical analysis of univariate GARCH models for financial time series with stops along the way to discuss various practical issues associated with model specification, estimation, diagnostic evaluation and forecasting.

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File URL: http://faculty.washington.edu/ezivot/research/practicalgarchfinal.pdf
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Paper provided by University of Washington, Department of Economics in its series Working Papers with number UWEC-2008-03-FC.

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Date of creation: Apr 2008
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Publication status: Forthcoming in Handbook of Financial Statistics, Springer-Verlag.
Handle: RePEc:udb:wpaper:uwec-2008-03-fc

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