Econometric Modelling with Time Series

Specification, Estimation and Testing

PART SIX: Nonlinear Time Series

Chapter 20: Nonlinearities in Variance

(1) Statistical Properties of Equity Returns

garch_statistic.g garch_statistic.m garch_statistics.R

equity.xlsx equity.mat equity.dat

(2) Testing for ARCH in Equity Returns

garch_test.g garch_test.m garch_test.R

equity.xlsx equity.mat equity.dat

(3) GARCH Model Properties

garch_simulate.g
garch_simulate.m
garch_simulate.R

(4) Estimating a GARCH Model of Equity Returns

garch_equity.g garch_equity.m garch_equity.R

equity.xlsx equity.mat equity.dat

(5) ARCH-NNH Model

garch_nnh.g garch_nnh.m garch_nnh.R

han_park.xlsx han_park.mat han_park.Rdata

(6) Testing for Day-of-the-Week Effects in Equity Returns

garch_seasonality.g garch_seasonality.m garch_seasonality.R

equity.xlsx equity.mat equity.dat

(7) Modelling Risk in the Term Structure of Interest Rates

garch_m.g garch_m.m garch_m.R

yields_us.dat yields_us.mat yields_us.Rdata

(8) GARCH Model with Conditional Student t

garch_student.g garch_student.m garch_student.R

equity.xlsx equity.mat equity.dat

(9) Efficiency of the Quasi-Maximum Likelihood Estimator

garch_studt.g
garch_studt.m
garch_studt.R
garch_gam.g
garch_gam.m
garch_gam.R

(10) Mixed-Data-Sampling Estimator (MIDAS)

garch_midas.g garch_midas.m garch_midas.R

daily_hedge.xls daily_hedge.dat daily_hedge.mat

(11) Mean Impact Curve (MIC)

garch_mic.g garch_mic.m garch_mic.R

intequity.xls intequity.dat intequity.mat

(12) BEKK Model of United States Yields

mgarch_bekk.g mgarch_bekk.m mgarch_bekk.R mgarch_student.g mgarch_student.m mgarch_student.R

yields_us.dat yields_us.mat yields_us.Rdata

(13) DCC and DECO Model of United States Yields

mgarch_dcc.g mgarch_dcc.m mgarch_dcc.R mgarch_deco.g mgarch_deco.m mgarch_deco.R

daily_finance.dat daily_finance.mat daily_finance.xls

(14) International CAPM with Time-Varying Beta

mgarch_icapm.g mgarch_icapm.m mgarch_icapm.R

icapm.dat icapm.mat

(15) Modelling LIBOR Rates with Time-Varying Volatility

mgarch_liboruk.g mgarch_liboruk.m mgarch_liboruk.R

libor_data.xls libor_data.dat libor_data.mat