A GARCH Tutorial with R

A GARCH Tutorial with R

Context: modeling volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: in this tutorial paper, we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representation and e...

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Bibliographic Details
Main Authors: Marcelo Scherer Perlin, Mauro Mastella, Daniel Francisco Vancin, Henrique Pinto Ramos
Format: Article
Language:English
Published: Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD) 2020-07-01
Series:RAC: Revista de Administração Contemporânea
Subjects:
volatility
garch
ibovespa
tutorial
Online Access:https://rac.anpad.org.br/index.php/rac/article/view/1420

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