Introduction to multivariate models

28 Abril 2021, 09:30 • Rita Sousa

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Multivariate Time Series Analysis and Its Applications . Weak Stationarity and Cross-Correlation Matrices. Granger causality. Vector Autoregressive Models. Vector Moving-Average Models. Vector ARMA Models.

Volatility measurement, ARCH modeling and forecasting

21 Abril 2021, 11:00 • 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.

Volatility measurement, ARCH modeling and forecasting

21 Abril 2021, 09:30 • 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

14 Abril 2021, 11:00 • 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: applications and concepts review

14 Abril 2021, 09:30 • 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.