A GARCH Tutorial with R
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Asger Lunde & Peter R. Hansen, 2005.
"A forecast comparison of volatility models: does anything beat a GARCH(1,1)?,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 20(7), pages 873-889.
- Asger Lunde & Peter Reinhard Hansen, 2001. "A Forecast Comparison of Volatility Models: Does Anything Beat a GARCH(1,1)?," Working Papers 2001-04, Brown University, Department of Economics.
- Hans Bystrom, 2004. "Orthogonal GARCH and covariance matrix forecasting: The Nordic stock markets during the Asian financial crisis 1997-1998," The European Journal of Finance, Taylor & Francis Journals, vol. 10(1), pages 44-67.
- Luc Bauwens & Sébastien Laurent & Jeroen V. K. Rombouts, 2006.
"Multivariate GARCH models: a survey,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109, January.
- Sébastien Laurent & Luc Bauwens & Jeroen V. K. Rombouts, 2006. "Multivariate GARCH models: a survey," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(1), pages 79-109.
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen, 2003. "Multivariate GARCH models: a survey," LIDAM Discussion Papers CORE 2003031, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- BAUWENS, Luc & LAURENT, Sébastien & ROMBOUTS, Jeroen VK, 2006. "Multivariate GARCH models: a survey," LIDAM Reprints CORE 1847, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
- Aït-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2011.
"Ultra high frequency volatility estimation with dependent microstructure noise,"
Journal of Econometrics, Elsevier, vol. 160(1), pages 160-175, January.
- Yacine Ait-Sahalia & Per A. Mykland & Lan Zhang, 2005. "Ultra High Frequency Volatility Estimation with Dependent Microstructure Noise," NBER Working Papers 11380, National Bureau of Economic Research, Inc.
- Ait-Sahalia, Yacine & Mykland, Per A. & Zhang, Lan, 2005. "Ultra high frequency volatility estimation with dependent microstructure noise," Discussion Paper Series 1: Economic Studies 2005,30, Deutsche Bundesbank.
- Robert Engle, 2001. "GARCH 101: The Use of ARCH/GARCH Models in Applied Econometrics," Journal of Economic Perspectives, American Economic Association, vol. 15(4), pages 157-168, Fall.
- James M. Carson & Elyas Elyasiani & Iqbal Mansur, 2008. "Market Risk, Interest Rate Risk, and Interdependencies in Insurer Stock Returns: A System‐GARCH Model," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 873-891, December.
- de Goeij, P. C. & Marquering, W., 2004. "Modeling the conditional covariance between stock and bond returns : A multivariate GARCH approach," Other publications TiSEM 94fe5ada-715a-4339-b94c-f, Tilburg University, School of Economics and Management.
- Jos� A. Fioruci & Ricardo S. Ehlers & Marinho G. Andrade Filho, 2014. "Bayesian multivariate GARCH models with dynamic correlations and asymmetric error distributions," Journal of Applied Statistics, Taylor & Francis Journals, vol. 41(2), pages 320-331, February.
- Engle, Robert F, 1982. "Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation," Econometrica, Econometric Society, vol. 50(4), pages 987-1007, July.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Claudeci Da Silva & Hugo Agudelo Murillo & Joaquim Miguel Couto, 2014. "Early Warning Systems: Análise De Ummodelo Probit De Contágio De Crise Dos Estados Unidos Para O Brasil(2000-2010)," Anais do XL Encontro Nacional de Economia [Proceedings of the 40th Brazilian Economics Meeting] 110, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
- Helmut Lütkepohl & Thore Schlaak, 2018.
"Choosing Between Different Time‐Varying Volatility Models for Structural Vector Autoregressive Analysis,"
Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 80(4), pages 715-735, August.
- Lütkepohl, Helmut & Schlaak, Thore, 2018. "Choosing Between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue 4, pages 715-735.
- Helmut Lütkepohl & Thore Schlaak, 2017. "Choosing between Different Time-Varying Volatility Models for Structural Vector Autoregressive Analysis," Discussion Papers of DIW Berlin 1672, DIW Berlin, German Institute for Economic Research.
- Allen, David E. & Amram, Ron & McAleer, Michael, 2013.
"Volatility spillovers from the Chinese stock market to economic neighbours,"
Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 238-257.
- Michael McAleer & David Allen & Ron Amram, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," KIER Working Papers 805, Kyoto University, Institute of Economic Research.
- Allen, D.E. & McAleer, M.J. & Amram, R., 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Econometric Institute Research Papers EI 2011-44, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- David E. Allena & Ron Amrama & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Working Papers in Economics 11/42, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Ron Amram & Michael McAleer, 2011. "Volatility Spillovers from the Chinese Stock Market to Economic Neighbours," Documentos de Trabajo del ICAE 2011-38, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- repec:zbw:rwirep:0243 is not listed on IDEAS
- Massimiliano Caporin & Michael McAleer, 2011.
"Thresholds, news impact surfaces and dynamic asymmetric multivariate GARCH,"
Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 65(2), pages 125-163, May.
- Massimiliano Caporin & Michael McAleer, 2008. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," "Marco Fanno" Working Papers 0064, Dipartimento di Scienze Economiche "Marco Fanno".
- Caporin, M. & McAleer, M.J., 2010. "Threshold, news impact surfaces and dynamic asymmetric multivariate GARCH," Econometric Institute Research Papers EI 2010-36, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
- Michael McAleer & Massimiliano Caporin, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/32, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Working Papers in Economics 10/73, University of Canterbury, Department of Economics and Finance.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CIRJE F-Series CIRJE-F-740, CIRJE, Faculty of Economics, University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2009. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," Documentos de Trabajo del ICAE 2009-11, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," CARF F-Series CARF-F-217, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
- Massimiliano Caporin & Michael McAleer, 2010. "Thresholds, News Impact Surfaces and Dynamic Asymmetric Multivariate GARCH," KIER Working Papers 741, Kyoto University, Institute of Economic Research.
- Ñíguez, Trino-Manuel & Perote, Javier, 2017. "Moments expansion densities for quantifying financial risk," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 53-69.
- Bernardi, Mauro & Costola, Michele, 2019. "High-dimensional sparse financial networks through a regularised regression model," SAFE Working Paper Series 244, Leibniz Institute for Financial Research SAFE.
- Ardelean, Vlad & Pleier, Thomas, 2013. "Outliers & predicting time series: A comparative study," FAU Discussion Papers in Economics 05/2013, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
- Chen, Hongtao & Liu, Li & Li, Xiaolei, 2018. "The predictive content of CBOE crude oil volatility index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 492(C), pages 837-850.
- DUȚĂ, Violeta, 2018. "Using The Symmetric Models Garch (1.1) And Garch-M (1.1) To Investigate Volatility And Persistence For The European And Us Financial Markets," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 22(1), pages 64-86.
- Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2013.
"Financial Risk Measurement for Financial Risk Management,"
Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 1127-1220,
Elsevier.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," PIER Working Paper Archive 11-037, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
- Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2012. "Financial Risk Measurement for Financial Risk Management," NBER Working Papers 18084, National Bureau of Economic Research, Inc.
- Belke, Ansgar & Gokus, Christian, 2011.
"Volatility Patterns of CDS, Bond and Stock Markets Before and During the Financial Crisis – Evidence from Major Financial Institutions,"
Ruhr Economic Papers
243, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
- Ansgar Belke & Christian Gokus, 2011. "Volatility Patterns of CDS, Bond and Stock Markets before and during the Financial Crisis: Evidence from Major Financial Institutions," Discussion Papers of DIW Berlin 1107, DIW Berlin, German Institute for Economic Research.
- Gatfaoui, Hayette, 2013. "Translating financial integration into correlation risk: A weekly reporting's viewpoint for the volatility behavior of stock markets," Economic Modelling, Elsevier, vol. 30(C), pages 776-791.
- Javier Sánchez García & Salvador Cruz Rambaud, 2022. "A GARCH approach to model short‐term interest rates: Evidence from Spanish economy," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1621-1632, April.
- Tim Bollerslev, 2008. "Glossary to ARCH (GARCH)," CREATES Research Papers 2008-49, Department of Economics and Business Economics, Aarhus University.
- Long H. Vo, 2017. "Estimating Financial Volatility with High-Frequency Returns," Journal of Finance and Economics Research, Geist Science, Iqra University, Faculty of Business Administration, vol. 2(2), pages 84-114, October.
- Ajay Singh & Dinghai Xu, 2016.
"Random matrix application to correlations amongst the volatility of assets,"
Quantitative Finance, Taylor & Francis Journals, vol. 16(1), pages 69-83, January.
- Ajay Singh & Dinghai Xu, 2013. "Random Matrix Application to Correlations Among Volatility of Assets," Papers 1310.1601, arXiv.org.
- Ercan Özen & Özdemir Letife & Simon Grima & Frank Bezzina, 2014. "Investigating Causality Effects in Return Volatility among Five Major Futures Markets in European Countries with a Mediterranean Connection," Journal of Financial Management, Markets and Institutions, Società editrice il Mulino, issue 2, pages 207-220, December.
- Rodrigo Alfaro & Carmen Gloria Silva, 2008. "Measuring Equity Volatility: the case of Chilean Stock Index," Working Papers Central Bank of Chile 462, Central Bank of Chile.
- Allen, David E. & McAleer, Michael & Powell, Robert J. & Singh, Abhay K., 2017.
"Volatility Spillovers from Australia's major trading partners across the GFC,"
International Review of Economics & Finance, Elsevier, vol. 47(C), pages 159-175.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Working Papers in Economics 14/23, University of Canterbury, Department of Economics and Finance.
- David E. Allen & Michael McAleer & Robert J. Powell & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's Major Trading Partners across the GFC," Tinbergen Institute Discussion Papers 14-106/III, Tinbergen Institute.
- David E. Allen & Michael McAleer & Abhay K. Singh, 2014. "Volatility Spillovers from Australia's major trading partners across the GFC," Documentos de Trabajo del ICAE 2014-26, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
- Fresoli, Diego E. & Ruiz, Esther, 2016.
"The uncertainty of conditional returns, volatilities and correlations in DCC models,"
Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 170-185.
- Fresoli, Diego Eduardo & Ruiz Ortega, Esther, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de EstadÃstica.
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:abg:anprac:v:25:y:2021:i:1:1420. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Information Technology of ANPAD (email available below). General contact details of provider: http://anpad.org.br .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.