GARCH Models in R
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Course overview
- Provider
- Datacamp
- Course type
- Free trial availiable
- Deadline
- Flexible
- Duration
- 4 hours
- Certificate
- Available on completion
- Course author
- Kris Boudt
Description
Specify and fit GARCH models to forecast time-varying volatility and value-at-risk.
Are you curious about the rhythm of the financial market's heartbeat? Do you want to know when a stable market becomes turbulent? In this course on GARCH models you will learn the forward looking approach to balancing risk and reward in financial decision making. The course gradually moves from the standard normal GARCH(1,1) model to more advanced volatility models with a leverage effect, GARCH-in-mean specification and the use of the skewed student t distribution for modelling asset returns. Applications on stock and exchange rate returns include portfolio optimization, rolling sample forecast evaluation, value-at-risk forecasting and studying dynamic covariances.
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