GARCH model - Eviews

Описание: In this video you will learn how to estimate a GARCH model in EViews using Microsoft Stock as example. I will explain step by step how to estimate GARCH models. We will use real data for the analysis: Microsoft stock model. We will use Microsot stock data to estimate a GARCH model.

NOTE: We will fit and ARCH model, and then a GARCH model. Finally we will compare them and see which one is preferred in our example.

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GARCH stands for generalized autoregressive conditional heteroskedasticity and is a statistical modeling technique used to help predict the volatility of returns on financial assets and/or, macroeconomic variables.

In this video we will learn about:

-How to check for ARCH Effects
ARCH model vs GARCH model
Which model fits better my data?
How to estimate ARCH and GARCH model
GARCH model: Real Example - Microsoft Stock

Lets get into it!
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🕘 Timestamps:
🎬 In this video the following analysis is performed:
👋 Introduction 0:00
📊 GARCH Models Overview 0:53
📊 GARCH Formalities 3:38
📊 Microsoft Returns - Example 4:43
📊 Estimating the Mean Equation 5:13
📊 Checking for ARCH/GARCH Effects 8:02
📊 ARCH(2) Model 11:44
📊 GARCH(1,1) Model 16:00
📊 Comparing the Models 18:29
📊 GARCH Variance Graph 19:43

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