Autoregressive Conditional Heteroscedasticity

The files for this unit in the lecture notes include several MCAD worksheets and a text file containing the data.  You can download them individually by clicking as appropriate.

An Introductory Essay

Part 1

Part 2

Part 3

Part 4

An example using the CPI

Extensions: GARCH, TARCH, ARCH-M

A MatLab Tutorial for GARCH