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Lecture
Are you an EPFL student looking for a semester project?
Work with us on data science and visualisation projects, and deploy your project as an app on top of Graph Search.
This lecture covers ARCH and GARCH models, focusing on volatility clustering and time series models. It explains the concepts, equations, and applications of these models in finance and macroeconomics. The instructor discusses the estimation, calibration, and filtering steps, including Kalman, Extended Kalman, and Unscented Kalman filters, as well as the Particle filter. Practical considerations and examples of applications are also presented.
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