Chapter 19: Time Series Models for Volatility

Exercises, Programs and Files:

• 19.1: The Stochastic Volatility Model
  • SV_AUD_eg.m
    • Supporting Files:
      • AUDUSD.csv (data)
      • SVRW.m

• 19.2: The Unobserved Components Stochastic Volatility Model
  • UCSV_gam.m
    • Supporting Files:
      • USCOP_2015Q4.csv (Data)
      • SVRW_gam.m

• 19.3: Stochastic Volatility in Mean
  • SVM.m
    • Supporting Files:
      • DFF.csv (Data)
      • SP500.csv (Data)
      • sample_SVM_h.m

• 19.4: Autoregressive Conditional Heteroscedasticity (ARCH)
  • ARCH.m
    • Supporting Files:
      • nyse.txt

• 19.5 Generalized Autoregressive Conditional Heteroscedasticity (GARCH)
  • GARCH.m
    • Supporing Files:
      • loglike_garch.m
      • nyse.txt