Volatility modelling is typically used for high frequency financial data. Asset returns are typically uncorrelated while the variation of asset prices (volatility) tends to be correlated across time. In this exercise set we will use the rugarch package (package description: here) to implement the ARCH (Autoregressive Conditional Heteroskedasticity) model in R. Answers to the exercises […] Related exercise sets: Forecasting: Multivariate Regression Exercises (Part-4) Introduction to copulas Exercises (Part-2) Conditional execution exercises Explore all our (>1000) R exercises Find an R course using our R Course Finder directory
