2020-07-22 Update: The final version of the paper is now published at RAC.
Back in May 2020, I started to work on a new paper regarding the use of Garch models in R. Today we finished the peer review process and finally got a final version of the article and code. I’m glad to report that the content improved significantly.
In a nutshell, the paper motivates GARCH models and presents an empirical application using R: given the recent COVID-19 crisis, we investigate the likelihood of Ibovespa index reach its peak value once again in the upcoming years.
Myself, Mauro Mastella, Daniel Vancin and Henrique Ramos, just finished a tutorial paper about GARCH models in R and I believe it is a good content for those learning financial econometrics. You can find the full paper in this link.
In a nutshell, the paper introduces motivation behind the GARCH type of models and presents an empirical application: given the recent COVID-19 crisis, we investigate how much time it would take for the Ibovespa index to reach its peak value once again. The results indicate that it would take, on average, about two and half years for the index to recover.