Publications by C. Alberto Dorantes Dosamantes, Ph.D.

Workshop 8 Solution - Financial Econometrics II

1 Introduction to ARCH model You have to read my note “Introducción a modelos ARCH”. An ARCH model is designed to model daily variance of financial instruments. We will start with the ARCH(1) model. Assume that \(Y_t\) is the daily continuously compounded return of a financial instrument, then we can model its variance as follows: \[ Y_{t}=...

18050 sym R (28428 sym/71 pcs) 10 img