Garch Models: An introduction

  • 04 de Fevereiro, 2025 | 14:00
  • Sala Multiuso EST (A1-76/7) Prédio CIC/EST
  • Palestrante: Prof. Simos Meintanis (University of Athens)

We study the main charracteristics of GARCH models such as conditional heteroskedasticity, heavy-tails, dependence of squares, strict stationarity, existence of moments, as well as the standard estimation methods (the moment estimator, the MLE, and the QMLE) for the parameters involved.