Lecture

ARCH and GARCH Models: Volatility Forecasting

In course

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Description

This lecture covers ARCH (autoregressive conditionally heteroscedastic) and GARCH (generalized ARCH) models, which are essential for daily risk-factor changes. The instructor explains the properties, estimation of parameters, and volatility forecasting using these models.

Instructor

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Official source

https://mediaspace.epfl.ch/media/0_xu6jdfco

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Ontological neighbourhood

Statistics

Statistical inference: Mathematical statistics

Data analysis: Regression analysis

Mathematics

Number theory: Number theory

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