GARCH model - volatility persistence in time series (Excel)

Описание

Generalised autoregressive conditional hereroskedasticity (GARCH) is an extension over ARCH that has been proposed by Tim Bollerslev in 1986. It allows for even more persistent volatility and is extremely useful, especially in high-frequency financial and economic time series. Today we will learn how to apply it in Excel and how to interpret its results. Econometrics is easy with NEDL!

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