Stats4Grads: GARCH Models: Basic Facts, Estimation and Goodness-of-Fit
2 June 2010 10:30 in CM 221
Our starting point will be motivation for GARCH models from the point of view of empirical finance. Then some basic theoretical results are presented, and standard methods for estimation of parameters are discussed. Finally some tests for symmetry and specification for the error distribution will be introduced.
Contact thomai.tsiftsi(@)durham.ac.uk for more information
See the Stats4Grads page for more details about this series.