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ARCH/GARCH Models - EViews Material

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This package contains all the material covered in my YouTube Video "ARCH Models in EViews" and ALSO GARCH model material.

The package includes:
1-EViews Workfile with all the tests, graphs, models and Instructions.
2-Video Slides for both videos: ARCH and GARCH
3-Data Set for both videos.

I hope you enjoy it!
JD Economics.
You will get the following files:
  • WF1 (132KB)
  • XLSX (77KB)
  • PDF (734KB)
  • XLS (90KB)
  • PDF (763KB)
  • WF1 (204KB)

ARCH and GARCH Models

This tutorial provides a comprehensive guide to estimating ARCH (AutoRegressive Conditional Heteroskedasticity) models using EViews. The tutorial begins by introducing ARCH models, which are designed to address changing volatility over time in financial data. It covers essential concepts such as volatility clustering and model assumptions.

The tutorial outlines the step-by-step process of estimating an ARCH model:

  1. Checking for stationarity of the time series data.
  2. Identifying an appropriate ARIMA model for the mean equation.
  3. Conducting a heteroskedasticity test to detect ARCH effects.
  4. Determining the order of ARCH components by analyzing correlograms and partial autocorrelation functions.
  5. Estimating the ARCH model with appropriate lag orders.
  6. Performing model diagnostics to ensure the absence of heteroskedasticity and autocorrelation in residuals.

Throughout the tutorial, emphasis is placed on maintaining model parsimony and interpreting results effectively.

Customer Reviews

Ngoc Nguyen L.

Verified Buyer

1 year ago

Best tutorials for EViews

Juan D'Amico is my best lecturer for EViews. Thanks to him, my master's thesis could go further. Thanks a lot for your videos and materials!