文章基本信息

标题：A GARCH Tutorial with R
本地全文：下载
作者：Marcelo Scherer Perlin ; Mauro Mastella ; Daniel Francisco Vancin 等
期刊名称：RAC - Revista de Administração Contemporânea
印刷版ISSN：1415-6555
电子版ISSN：1982-7849
出版年度：2021
卷号：25
期号：1
页码：200088-200104
DOI：10.1590/1982-7849rac2021200088
出版社：Associação Nacional de Pós-Graduação e Pesquisa em Administração
摘要：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 estimation process, along with a descriptive example of a real-world application of volatility modeling.Methods: we use a GARCH model to predict how much time it will take, after the latest crisis, for the Ibovespa index to reach its historical peak once again. The empirical data covers the period between years 2000 and 2020, including the 2009 financial crisis and the current 2020’s episode of the COVID-19 pandemic.Conclusion: we find that, according to our GARCH model, Ibovespa is more likely than not to reach its peak once again in one year and four months from June 2020. All data and R code used to produce this tutorial are freely available on the internet and all results can be easily replicated.
关键词：Volatility; GARCH; Ibovespa; tutorial.
其他关键词：Volatilidade; GARCH; Ibovespa; tutorial.