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GARCH 101: An Introduction to the Use of Arch/Garch Models in Applied Econometrics

seekers, Sat Jun 24, 2017 5:17 am

ARCH and GARCH models have become important tools in the analysis of time series data, particularly in financial applications. These models are especially useful when the goal of the study is to analyze and forecastvolatility. This paper gives the motivation behind the simplest GARCH model and illustrates its usefulness in examining portfolio risk. Extensions are briefly discussed.
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