A GARCH Tutorial in R

Myself, Mauro Mastella, Daniel Vancin and Henrique Ramos, just finished a tutorial paper about GARCH models in R and I believe it is a good content for those learning financial econometrics. You can find the full paper in this link.

In a nutshell, the paper introduces motivation behind the GARCH type of models and presents an empirical application: given the recent COVID-19 crisis, we investigate how much time it would take for the Ibovespa index to reach its peak value once again. The results indicate that it would take, on average, about two and half years for the index to recover.

All code and data used in the study is available in GitHub, so fell free to download the zip file and play around. You can find all figures of the paper in this link. Worth pointing out that you can reproduce all results in your own computer by executing the source code at GitHub.

Marcelo S. Perlin
Marcelo S. Perlin
Associate Professor of Finance

My research interests include distributed robotics, mobile computing and programmable matter.

comments powered by Disqus

Related