ARCH, GARCH, and Stochastic Volatility Models (Sep-Nov 2012)

[TomDoan]

Our next web course will be on ARCH, GARCH and Stochastic Volatility Models. It will run from September 27th-November 15th, 2012. This 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.

The course is presented via private sections of this forum. These private sections are accessible only to registered course participants.

Each week, we post (typically on Thursday) a new lesson in the form of a PDF document, along with accompanying example programs, procedure files, and sample data. The course participants can post questions and get answers on the forum, or send questions by email. This approach allows you to work through the lessons and examples on your own time and at your own pace, although we do recommend that you try to keep up with the weekly schedule.

You can register for the course at

https://www.estima.com/shopcart/webordercart_courses.shtml

The following is a sample of a discussion relatively similar to what will be included (for univariate ARCH and GARCH models). This is based upon the chapter in Hamilton's Time Series Analysis. The actual course will use a different example, since this doesn't fit a GARCH model very well, and won't be tied to the discussion in the one book, but this will gives a feel for the combination of theory and practice that one of our courses includes.

garch chapter.pdf

Sample Chapter

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