A GARCH Tutorial in R (revised)

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.

All code and data used in the study is available in GitHub, so fell free to download the zip file and play around. Likewise, you can run the same code at RStudio Cloud.

Marcelo S. Perlin
Marcelo S. Perlin
Associate Professor

My research interests include data analysis, finance and cientometrics.

comments powered by Disqus