Applied Econometrics

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ARCH and GARCH models<br />

● Motivation: homoscedasticity is to restrictive<br />

assumption.<br />

● See the plot of squared residuals of CEZ stock<br />

from ARIMA (1,1,1):

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Comments to the results ● Still some siginificant autocorrelations ● Reason: heteroscedasticity, non-normality and other assumptions violated.

ARCH and GARCH models ● Motivation: homoscedasticity is to restrictive assumption. ● See the plot of squared residuals of CEZ stock from ARIMA (1,1,1):

Page 1 and 2: Applied Econometrics Seminar: ARIMA
Page 3 and 4: ARMA and ARIMA Models ● Just the
Page 5: ARIMA models in JMulti ● Data: PX
Page 10 and 11: GARCH and ARCH - Summary ● ARCH -
Page 12 and 13: ● But: Squares of log returns - v
Page 14 and 15: ● Plots for residuals of CEZ ARIM

Applied Econometrics

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