An Introduction to Financial Econometrics TimeVarying Volatility and

14. 1 The Arch Model (14. 1 a) (14. 1 b) (14. 1 c)

14. 1 The Arch Model (14. 2 a) (14. 2 b) (14. 2 c)

14. 1. 1 Conditional and Unconditional Forecasts � Conditional forecast Principles of Econometrics, 3

14. 1. 1 Conditional and Unconditional Forecasts � Unconditional forecast Principles of Econometrics, 3

14. 1. 1 Conditional and Unconditional Forecasts Principles of Econometrics, 3 rd Edition Slide

14. 2 Time Varying Volatility Figure 14. 1 Examples of Returns to Various Stock

14. 2 Time Varying Volatility Figure 14. 2 Histograms of Returns to Various Stock

14. 2 Time Varying Volatility Figure 14. 3 Simulated Examples of Constant and Time-Varying

14. 2 Time Varying Volatility Figure 14. 4 Frequency Distributions of the Simulated Models

14. 3 Testing, Estimating and Forecasting � 14. 3. 1 Testing for ARCH effects

14. 3 Testing, Estimating and Forecasting Figure 14. 5 Time Series and Histogram of

14. 3. 2 Estimating ARCH Models (14. 4 a) (14. 4 b) Principles of

14. 3. 3 Forecasting Volatility (14. 5 a) (14. 5 b) Principles of Econometrics,

14. 3. 3 Forecasting Volatility Figure 14. 6 Plot of Conditional Variance Principles of

14. 4 Extensions (14. 6) Principles of Econometrics, 3 rd Edition Slide 14 -17

14. 4. 1 The GARCH Model - Generalized ARCH (14. 7) Principles of Econometrics,

14. 4. 1 The GARCH Model - Generalized ARCH Principles of Econometrics, 3 rd

14. 4. 1 The GARCH Model - Generalized ARCH Figure 14. 7 Estimated Means

14. 4. 2 Allowing for an Asymmetric Effect (14. 8) Principles of Econometrics, 3

14. 4. 2 Allowing for an Asymmetric Effect Principles of Econometrics, 3 rd Edition

14. 4. 3 GARCH-in-Mean and Time-varying Risk Premium (14. 9 a) (14. 9 b)

14. 4. 3 GARCH-in-Mean and Time-varying Risk Premium Principles of Econometrics, 3 rd Edition

Keywords � � � � ARCH Conditional and Unconditional Forecasts Conditionally normal GARCH-in-mean and

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An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models Chapter 14 Prepared by Vera Tabakova, East Carolina University

Chapter 14: An Introduction to Financial Econometrics: Time-Varying Volatility and ARCH Models � 14. 1 The ARCH Model � 14. 2 Time-Varying Volatility � 14. 3 Testing, Estimating and Forecasting � 14. 4 Extensions Principles of Econometrics, 3 rd Edition Slide 14 -2

14. 1 The Arch Model (14. 1 a) (14. 1 b) (14. 1 c) Principles of Econometrics, 3 rd Edition Slide 14 -3

14. 1 The Arch Model (14. 2 a) (14. 2 b) (14. 2 c) Principles of Econometrics, 3 rd Edition Slide 14 -4

14. 1. 1 Conditional and Unconditional Forecasts � Conditional forecast Principles of Econometrics, 3 rd Edition Slide 14 -5

14. 1. 1 Conditional and Unconditional Forecasts � Unconditional forecast Principles of Econometrics, 3 rd Edition Slide 14 -6

14. 1. 1 Conditional and Unconditional Forecasts Principles of Econometrics, 3 rd Edition Slide 14 -7

14. 2 Time Varying Volatility Figure 14. 1 Examples of Returns to Various Stock Indices Principles of Econometrics, 3 rd Edition Slide 14 -8

14. 2 Time Varying Volatility Figure 14. 2 Histograms of Returns to Various Stock Indices Principles of Econometrics, 3 rd Edition Slide 14 -9

14. 2 Time Varying Volatility Figure 14. 3 Simulated Examples of Constant and Time-Varying Variances Principles of Econometrics, 3 rd Edition Slide 14 -10

14. 2 Time Varying Volatility Figure 14. 4 Frequency Distributions of the Simulated Models Principles of Econometrics, 3 rd Edition Slide 14 -11

14. 3 Testing, Estimating and Forecasting � 14. 3. 1 Testing for ARCH effects (14. 3) Principles of Econometrics, 3 rd Edition Slide 14 -12

14. 3 Testing, Estimating and Forecasting Figure 14. 5 Time Series and Histogram of Returns Principles of Econometrics, 3 rd Edition Slide 14 -13

14. 3. 2 Estimating ARCH Models (14. 4 a) (14. 4 b) Principles of Econometrics, 3 rd Edition Slide 14 -14

14. 3. 3 Forecasting Volatility (14. 5 a) (14. 5 b) Principles of Econometrics, 3 rd Edition Slide 14 -15

14. 3. 3 Forecasting Volatility Figure 14. 6 Plot of Conditional Variance Principles of Econometrics, 3 rd Edition Slide 14 -16

14. 4 Extensions (14. 6) Principles of Econometrics, 3 rd Edition Slide 14 -17

14. 4. 1 The GARCH Model - Generalized ARCH (14. 7) Principles of Econometrics, 3 rd Edition Slide 14 -18

14. 4. 1 The GARCH Model - Generalized ARCH Principles of Econometrics, 3 rd Edition Slide 14 -19

14. 4. 1 The GARCH Model - Generalized ARCH Figure 14. 7 Estimated Means and Variances of Various ARCH Models Principles of Econometrics, 3 rd Edition Slide 14 -20

14. 4. 2 Allowing for an Asymmetric Effect (14. 8) Principles of Econometrics, 3 rd Edition Slide 14 -21

14. 4. 2 Allowing for an Asymmetric Effect Principles of Econometrics, 3 rd Edition Slide 14 -22

14. 4. 3 GARCH-in-Mean and Time-varying Risk Premium (14. 9 a) (14. 9 b) (14. 9 c) Principles of Econometrics, 3 rd Edition Slide 14 -23

14. 4. 3 GARCH-in-Mean and Time-varying Risk Premium Principles of Econometrics, 3 rd Edition Slide 14 -24

Keywords � � � � ARCH Conditional and Unconditional Forecasts Conditionally normal GARCH-in-mean and GARCH-inmean T-ARCH and T-GARCH Time-varying variance Principles of Econometrics, 3 rd Edition Slide 14 -25