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GARCH Volatility forecast in Excel

GARCH Volatility forecast in Excel

Ratings: (0)|Views: 2,038|Likes:
Published by Spider Financial
In this document, we analyze the S&P 500 monthly returns time series, construct and fit a GARCH type model, perform residuals diagnosis, and finally build volatility forecast in Excel using only NumXL functions.

For the example spreadsheet and tutorial video, visit us at
http://bitly.com/IitD6M
In this document, we analyze the S&P 500 monthly returns time series, construct and fit a GARCH type model, perform residuals diagnosis, and finally build volatility forecast in Excel using only NumXL functions.

For the example spreadsheet and tutorial video, visit us at
http://bitly.com/IitD6M

More info:

Published by: Spider Financial on Apr 06, 2012
Copyright:Attribution Non-commercial

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08/01/2013

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