ARCH and GARCH Models

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.