Lecture

Financial Time Series: GARCH Processes

In course
DEMO: magna officia nostrud qui
Ut laboris sint tempor adipisicing culpa non veniam. Et in dolore aliqua non est id dolore laborum ullamco sint. Aliquip ullamco excepteur ea qui officia culpa occaecat qui.
Login to see this section
Description

This lecture covers the fundamentals of financial time series, including stationarity, autocorrelation, and martingale difference. It delves into GARCH processes, fitting data, volatility forecasting, and conditional risk measurement in quantitative risk management.

Instructor
nostrud eu qui
Fugiat ipsum excepteur velit aliqua irure. Eu ullamco incididunt sit mollit pariatur consequat aute veniam sint culpa exercitation deserunt veniam. Nisi est est nulla quis id voluptate cillum aliqua adipisicing nulla aute. Elit ad officia Lorem dolor. Commodo et magna deserunt nostrud incididunt esse minim quis veniam qui Lorem consequat consectetur eiusmod. Labore enim est nulla occaecat sunt qui consectetur nulla aliqua. Aliquip consequat amet sint aliquip dolore qui irure anim laborum mollit.
Login to see this section
About this result
This page is automatically generated and may contain information that is not correct, complete, up-to-date, or relevant to your search query. The same applies to every other page on this website. Please make sure to verify the information with EPFL's official sources.
Related lectures (31)
Quantitative Risk Management: Volatility Modeling
Covers volatility modeling in quantitative risk management, including ARMA, ARCH, GARCH models, and forecasting.
Quantitative Risk Management: Volatility Modeling
Covers volatility modeling in risk management, including ARMA, ARCH, GARCH models, causal representation, and forecasting.
Quantitative Risk Management: VaR and ES
Covers Value at Risk (VaR) and Expected Shortfall (ES) in risk management, including backtesting and multivariate distributions.
Risk Management: Quantitative Methods
Explores risk management concepts, including VaR, ES, and measurement methods.
Financial Time Series: Stylized Facts and Modeling
Explores stylized facts and modeling of financial time series, including ARCH and GARCH processes.
Show more

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.