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October 18, 2007

TGARCH tutorial

I have posted a brief tutorial on the TGARCH model for timeseries conditional heteroskedasticity.

next module

For the next four weeks, the topic will be fixed income markets, and Bill Barr will be your instructor.

Please see his course website for the reading assignment. Lectures will be in our lecture hall, FordH127.

final assignment

I turned out the final assignment for Fall term, due 10/24.

Contact me if you have any questions.

Come to office hours on Tuesday, 6-8PM, if you want to see me in person.

October 8, 2007

Reading for Week 7

I would like to change the scheduled topic for my module's last lecture this term, on 10/17, from CW's treatment of baskets to a review of the dominant conditional heteroskedasticity model, TGARCH.

The main reference for this is

Zakoin, Jean-Michel, Threshold heteroskedastic models, Journal of Economic Dynamics and Control, vol. 18, 1994, pp. 931-955

This journal is avaialble online through the library.

October 4, 2007

Historical Simulation

I have updated the case from yesterday to demonstrate the failure of the Cholesky method for simulating large vectors, and the alternate historical simulation method. I have also posted a note defining and justifying the method.