Volatility measurement, ARCH modeling and forecasting

22 Março 2022, 18:00 • Rita Sousa

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Introduction to GARCH models: volatility clustering, ARCH LM test and Ljung-Box test. ARCH, GARCH, EGARCH and GJR models. Other GARCH models specification. Maximum-Likelihood and Quasi-Maximum Likelihood estimation methods. The GARCH models estimation in EVIEWS. Applications to stock markets returns.

ARIMA Models: applications and concepts review

15 Março 2022, 18:00 • Rita Sousa

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SARIMA MODELS: applications (stationarity, identification, estimation, diagnostic and representation). Data Files to use: SARIMA.XLS, ELECTRICITY.XLS, S&P500.XLS and USGDP.XLS.

ARIMA Models

8 Março 2022, 18:00 • Rita Sousa

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The Box-Jenkins Methodology (Identification, Estimation and Diagnostic). The Box-Pierce and Ljung-Box tests. Dealing with seasonality: the SARIMA models. The Unit Root Tests: Dickey-Fuller, Augmented Dickey-Fuller, KPSS and Phillips-Perron tests, discussion and application to nonstationary time series.

Introduction to stochastic time series models: basic concepts

22 Fevereiro 2022, 18:00 • Rita Sousa

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Introduction to stochastic time series models: white noise and random walk processes, stationarity, autocorrelation and partial autocorrelation functions. ARIMA models: differenced and log transformations, lag operator, pure Autoregressive (AR) processes, pure Moving Average processes (MA) and ARMA processes.

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15 Fevereiro 2022, 18:00 • Rita Sousa

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Multiple linear regression model: application and conclusion.