A short empirical exercise performed on eviews to build an ARCH model on a major US stock index in order to analyse volatility.
Heteroskedasticity, residual normality, Jarque-Bera, skewness, kurtosis, leptkurtosis, ARCH, GARCH, information statistics
Time Series Econometrics: Modelling ARCH on Dow Jones Stock Returns
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Book Details
Author(s)Jason Rong
PublisherJRong
ISBN / ASINB00RQXRASO
ISBN-13978B00RQXRAS2
MarketplaceFrance 🇫🇷