TAILIEUCHUNG - Lecture Introductory Econometrics for Finance: Chapter 9 - Chris Brooks

Chapter 9 - Modelling volatility and correlation. In this chapter, you will learn how to: Discuss the features of data that motivate the use of GARCH models, explain how conditional volatility models are estimated, test for ‘ARCH-effects’ in time series data, produce forecasts from GARCH models, contrast various models from the GARCH family,. | ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Chapter 9 Modelling volatility and correlation ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 An Excursion into Non-linearity Land Motivation: the linear structural (and time series) models cannot explain a number of important features common to much financial data - leptokurtosis - volatility clustering or volatility pooling - leverage effects Our “traditional” structural model could be something like: yt = 1 + 2x2t + . + kxkt + ut, or more compactly y = X + u We also assumed that ut N(0, 2). ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 A Sample Financial Asset Returns Time Series Daily S&P 500 Returns for August 2003 – August 2013 ‘Introductory Econometrics for Finance’ © Chris Brooks 2013 Non-linear Models: A Definition Campbell, Lo and MacKinlay (1997) define a non-linear data generating process as one that can be written yt = f(ut, ut-1, ut-2, ) where ut is

• Kinh tế học
• Econometrics for Finance
• Introductory Econometrics for Finance
• Regression model
• Purpose of econometrics
• Modelling volatility
• GARCH models
• Econometric model
• Financial modelling
• Straight lines
• Statistical foundations
• Classical linear regression model
• Regression analysis
• Multiple linear regression
• Statistical distributions
• Univariate time series modelling
• Stochastic processes
• Multivariate models
• Simultaneous equations models
• Modelling long run relationship
• Stochastic non stationarity
• Switching models
• Switching behaviour
• Panel data
• Fixed effects models
• Limited dependent variable models
• Linear probability model
• Simulation methods
• Random number generation
• Empirical research project
• Research project
• Financial data