Tag Archives: GARCH type specifications

volatility in returns 2022 Best

volatility in returns

The goal of this paper is to model volatility in returns using univariate financial data. You are required to select three related financial time series and model the returns correcting for volatility assuming a GARCH (1,1) specification is correct (which needs to be tested).

volatility in returns

Aim This is an individual assignment with the explicit purpose of giving you a chance to apply the econometric techniques encountered in the course of the module. Objectives To demonstrate: · competence in the use of EViews; · skill in interpreting regression output and performing appropriate statistical tests. The Task Your task is to model volatility in returns using univariate financial data. You are required to select three related financial time series and model the returns correcting for volatility assuming a GARCH (1,1) specification is correct (which needs to be tested).

volatility in returns

Your data should include a reasonable set of observations (the more the better) and cover a number of recent years (you are advised to use daily, weekly or monthly data). In carrying out your task you should consider the following questions: · Is each series stationary? Make any necessary transformation to the data based on your observations (you will need to use graphs and correlograms (which can be reported in an appendix)) and Dickey-Fuller tests. · Is a GARCH(1,1) appropriate or are there any other GARCH type specifications that may be more appropriate? · Is each model correctly specified?

volatility in returns

You are also required to: · Interpret the estimated coefficients in the mean and variance equations and estimate the long run unconditional variance and the annualized volatility. Requirements · Your assignment should be word processed and set out in a formal professional manner and should include: a) An introduction that includes a brief description of the modelling technique adopted stating why it is appropriate. (10 marks) b) A brief description of the data employed in the analysis (e.g. their source, frequency, mean and standard deviation, the sample period etc.). (10 marks) c) A description of any testing procedure(s) adopted. https://youtu.be/v-7VLAyhmqg

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