2013-07-18_GARCH_example

Garch model for dax time series 40 30 0 10 20 density

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Unformatted text preview: ndence? GARCH model for DAX time series 40 30 0 10 20 Density 50 60 > hist(diff(log(DAX)), br=100, col="gray", freq=FALSE) Histogram of diff(log(DAX)) > curve(dnorm(x, mean=mean(diff(log(DAX))), + sd=sd(diff(log(DAX)))), add=TRUE, col="black",lwd=2) −0.10 −0.05 0.00 0.05 diff(log(DAX)) Histogram of diff(log(DAX)) with superimposed curve of fitted normal distribution with the same mean and standard deviation as in the observed time series. GARCH model for DAX time series 0.8 0.6 > acf(diff(log(DAX)), lag.max=270) 0.2 0.0 0.4 0.60.2 0.8 0.4 1.0 Series diff(log(DAX)) 0.0 0.2 0.4 0.0 0.2 0.4 0.6 0.8 1.0 0.6 0.8 1.0 0.0 ACF ACF ACF plot of diff(log(DAX)) Lag GARCH model for DAX time series 0.8 0.6 > acf(diff(log(DAX))ˆ2, lag.max=270) 0.2 0.0 0.60.2 0.4 0.8 0.4 1.0 Series diff(log(DAX))^2 0.0 0.2 0.4 0.0 0.2 0.4 0.6 0.8 1.0 0.6 0.8 1.0 0.0 ACF ACF ACF plot of diff(log(DAX))2 Lag GARCH model for DAX time series ACF plots with default lag > acf(diff(log(DAX))) > acf(diff(log(DAX))ˆ2) 0.6...
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