The LST-GARCH_model.xls Model

LST-GARCH(1,1) Model

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Given a series of observations, this model estimates the data generation process, allowing variance to vary over time following a first order generalized autoregressive conditional heteroscedasticity model (i.e. GARCH(p,q), p=1 & q=1).

Keywords:

Econometrics | Forecasting | Time Series | Maximum Likelihood | Time Varying Parameters | GARCH | Heteroscedasticity | Volatility Modeling |