GARCH: Generalized Autoregressive Conditional Heteroscedasticity | Time Series Lecture 17

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Generalized Autoregressive Conditional Heteroscedasticity (GARCH)

00:00 ARCH - Defintion
01:35 GARCH - Defintion
02:48 ARCH - Properties
05:30 GARCH - Properties
05:56 ARCH - Conditional variance
07:21 GARCH - Conditional variance
08:05 ARCH - Stationarity
10:05 GARCH - Stationarity
11:58 ARCH - Unonditional variance
13:15 GARCH - Unonditional variance
15:11 ARCH - Representation
18:41 GARCH - Representation
23:47 GARCH(1,1) - Representation
31:27 GARCH(1,1) - Stationarity

Reference:

Engle, R. F. (1982): Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation. Econometrica, 50, 987-1007.

Teaching Materials:
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Video-playlist:
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Contact:
  1. cserbal
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00:00 ARCH - Defintion
01:35 GARCH - Defintion
02:48 ARCH - Properties
05:30 GARCH - Properties
05:56 ARCH - Conditional variance
07:21 GARCH - Conditional variance
08:05 ARCH - Stationarity
10:05 GARCH - Stationarity
11:58 ARCH - Unonditional variance
13:15 GARCH - Unonditional variance
15:11 ARCH - Representation
18:41 GARCH - Representation
23:47 GARCH(1, 1) - Representation
31:27 GARCH(1, 1) - Stationarity

cserbal