Theoretical Exercises 4: The ARCH Model
These theoretical exercises for Topic 4 focus on the ARCH and GARCH models. We work actively with the exercises during the class on Monday, April 9.
You can download the exercises below.
Theoretical Exercises 4.pdf Download Theoretical Exercises 4.pdf.
Resources
The following resources might be useful for solving the exercise:
Written solution guide: Theoretical Exercises 4 - Solution Guide.pdf Download Theoretical Exercises 4 - Solution Guide.pdf.
Slides: 04 ARCH.pdf Download 04 ARCH.pdf.
Annotated slides: 04 ARCH (Annotated).pdf Download 04 ARCH (Annotated).pdf.
Video and Review Quiz 4-01: The ARCH Model.
The video covers most questions in Theoretical Exercise #4.1.
Video and Review Quiz 4-02: The GARCH Model.
The video covers most questions in Theoretical Exercise #4.2.