Empirical Exercises 4: The ARCH Model
The empirical exercises in this course are created to help you carry out the empirical analyses required for the assignments. The exercises provide step-by-step instructions on how to estimate the various models in OxMetrics, how to interpret the results, etc.
If you find that you don't need to complete the empirical exercise, spend your time wisely and just work directly with the assignment.
Below, you can download a pdf-document with the empirical exercise.
Empirical Exercises 4.pdf Download Empirical Exercises 4.pdf.
Data and OxMetrics Program
Data files: kfx.in7 Download .in7 and kfx.bn7 Download kfx.bn7.
Videos
Video: Estimation of GARCH Models in OxMetrics (8:24 minutes).
The video shows you how to estimate GARCH models using the PcGive module in OxMetrics.
Online Tutorial for Empirical Exercise 4.1
In the online tutorial, we try to guide you through each of the questions in the exercise by combining explanations, graphs, hints, feedback, and quizzes.