Overview of ARCH - GARCH models in Stata

Описание к видео Overview of ARCH - GARCH models in Stata

This video explores the step by step procedure (Box Jenkins approach) in making ARMA model and then building up to ARCH - GARCH model. It includes tests like VARSOC, Dfuller, ac, pac, archlm etc.
At the end the models were compared using AIC and BIC values and then forecasting is applied.

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