A GARCH Tutorial with R
ABSTRACT Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representat...
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| Other Authors: | , , |
| Format: | article |
| Language: | eng |
| Published: |
2021
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| Subjects: | |
| Online Access: | http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65552021000100503 |
| Country: | Brazil |
| Oai: | oai:scielo:S1415-65552021000100503 |