Practice Risk
Forecast volatility with GARCH for a risk report
Hard+50 pointsAbout 70 minutesRisk
Coming soon
Fit a GARCH(1,1) by maximum likelihood, forecast ten days ahead and explain what the persistence means for risk.
This problem opens with Financial Econometrics. It draws on the modules below.
- Econometrics 1.8 GARCH (coming soon)
- Foundations 5.9 Maximum likelihood