This web course will examine the practical and theoretical issues with estimating and using ARCH, GARCH, and stochastic volatility models. We will cover the many variants of univariate and multivariate GARCH estimation, including specification of the variance and mean models, overcoming numerical issues, and diagnostic checking.
Then we will examine more advanced topics like jump and threshold GARCH models.
Finally, we will look at the related topic of stochastic volatility models, covering both approximate state space estimation and Monte Carlo methods.
Registration is open now. See below for general information on our web courses.
To register for a course or purchase a set of course materials via the website, go to Online Registration.
To register for a web course by mail or fax, click on Course Registration Form to download an order form in PDF format.
To order course materials from a previous course by mail or fax, click on Course Materials Order Form to download an order form in PDF format.
To register by phone, call 800-822-8038.