Summary
Summary - ARCH Models
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1
Pages
13
Uploaded on
07-12-2017
Written in
2017/2018
Here you can find a summary of the ARCH models. Basically, in this document you can find everything that the prof. said in the class. It contains explanation of different types of volatility, the basic ARCH model, conditional variance, transformation of the model into ARMA model, volatility clustering, testing for ARCH effects, diagnostic of the model. This summary helps you go through material without watching again the lengthy web-lectures. I practically wrote down everything what he said. It helps also if you did not watch the weblecture, because you can find here everything what he talked about.
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Connected book
Introductory Econometrics for Finance
- mei 2014
- 9781107661455
- 1
Written for
- Institution
- Vrije Universiteit Amsterdam (VU)
- Study
- Msc Finance
- Course
- Empirical Finance
All documents for this subject (15)
Document information
- Summarized whole book?
- Unknown
- Uploaded on
- December 7, 2017
- Number of pages
- 13
- Written in
- 2017/2018
- Type
- SUMMARY
Subjects
-
arch model
-
summary arch model
-
volatility clustering
-
interpretation arch model
-
vu university
-
vrije university
-
empirical finance
-
master of fina
-
autoregressive conditional heteroskedasticity
-
msc finance
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