How to fit a GARCH(1, 1) Model in MATLAB

volatility modeling

garch model

statistics

financial modeling

volatility

financial engineering

Автор: Krohn - Education

Загружено: 2017-10-14

Просмотров: 16899

Описание: http://www.krohneducation.com/

This video demonstrates the procedure of fitting a GARCH(1, 1) model to S&P 500 returns in MATLAB. The video assumes that the watcher already has a basic understanding of GARCH models as well as background knowledge of several statistical tests including Jarque-Bera and Ljung-Box.

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How to fit a GARCH(1, 1) Model in MATLAB

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