5-GARCH模型及其在金融中的应用.pptVIP

A Project of GARCH on SP Industrials Index The Data SP Industrials Index, Daily from 1st Jan 1990 – 29th Sep 2003 3586 observations in total Objectives Procedures The objective of this project is to estimate the volatility of SP Industrials Index by using various GARCH (Generalised Autoregressive Conditional Heteroscedasticity) models. The models used in this project are GARCH (1,1); ARCH(20); TGARCH (1,1,1); EGARCH (1,1) and GARCH (1,1) with Student’s T distributed residuals The procedure is divided into three stages, i.e. Pre-estimation analysis; Estimation of parameters by various models