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Estimation of GARCH type models and Volatility Forecasting
By Maria Qubtia
Subjects:
Financial Analysis, Financial Econometrics
Level:
Expert
Types:
Activity, Lecture
Stylized Properties of a Financial Series
Pre-Estimation Analysis Structure of the Model And Estimation
There are two steps in the pre-estimation analysis:
- Graphical Analysis (Return Series Plot, Distributional plot, ACF, PACF) and
- Testing (Normality Test, LM ARCH test, Q-statistics, KPSS test
Structure of the Model And EstimationPost-Estimation Analysis
Finalize the Structure of the Estimated Model
Volatility Forecasting ( different measures of forecasts i.e. RMSE, MSE, MAE)
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