EViews Webinar - ARCH and GARCH
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In this 3-hour online seminar the participant learns methods for modeling and forecasting volatility. These ARCH and GARCH models are discussed theoretically. As a practical example, these models are treated to predict the value-at-risk of various shares. Since the estimation methods of these models are complex,we use EViews as the supporting software.
As part of the course the participant learns to setup models for the prediction of volatility. We discuss the necessity for setting up ARCH and GARCH models with EViews. Participants will be using these models for out-of-sample forecasts.
- Setting up ARCH and GARCH models for modeling the volatility using EViews
- Generating out-of-sample forecasts regarding volatility based on ARCH and GARCH models with EViews
During the seminar we do not address the operation of EViews. A basic familiarity with the program is recommended. Furthermore, the participants should know the basics of linear regression.