Welcome to Scribd. Sign in or start your free trial to enjoy unlimited e-books, audiobooks & documents.Find out more
Standard view
Full view
of .
P. 1
GARCH Volatility forecast in Excel

# GARCH Volatility forecast in Excel

Ratings: (0)|Views: 2,038|Likes:
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

### Availability:

See more
See less

08/01/2013

pdf

text

original

¬
Vuvjrkan
¬
‘
¬
MA_H@
¬
Yjnavknkv{
¬
Ijrehaxv
¬
1
“¬
«
¬
X|kfer
¬
Ikgaghkan
¬
Hjr|.
¬
?<1?
¬¬¬
Yjnavknkv{Ijrehaxvkgm}kv`MA_H@
]`av
¬
kx
¬
v`e
¬
xkmgkikhaghe
¬
ji
¬
yjnavknkv{:
¬
Ikrxv.
¬
v`e
¬
yjnavknkv{.
¬
jr
¬
xvagfarf
¬
feykavkjg
¬
kx
¬
ag
¬
kc|jrvagv
¬
ceaxure
¬
ji
¬
carbev
¬
rkxb'
¬
Xehjgf.
¬
kv
¬
kx
¬
jiveg
¬
uxef
¬
vj
¬
|rkhe
¬
ferkyavkyex
¬
(e'm'
¬
j|vkjgx+
¬
kgxvrucegvx'
¬¬¬
Kg
¬
v`kx
¬
|a|er.
¬
}e
¬
}knn
¬
fecjgxvrave
¬
v`e
¬
ie}
¬
xve|x
¬
requkref
¬
vj
¬
hjgyerv
¬
v`e
¬
carbev
¬
kgfep
¬
X)\
¬
5<<
¬
fava
¬
kgvj
¬
a
¬
rjouxv
¬
yjnavknkv{
¬
ijrehaxv
¬
uxkgm
¬
v`e
¬
GucPN
¬
Aff
kg
¬
}kv`kg
¬
Ephen'
¬
Ijr
¬
jur
¬
|ur|jxe.
¬
}e
¬
are
¬
uxkgm
¬
v`e
¬
X)\
¬
5<<
¬
EVI
¬
(aba
¬
X\F_+
¬
|rkhex
¬
ax
¬
a
¬
|rjp{
¬
ijr
¬
v`e
¬
UX
¬
narme
ha|
¬
equkvkex
¬
carbev'
¬¬
Iurv`ercjre.
¬
}e
¬
are
¬
uxkgm
¬
v`e
¬
cjgv`n{
¬
|rkhex
¬
(vaounavef
¬
av
¬
v`e
¬
oemkggkgm
¬
ji
¬
v`e
¬
cjgv`+
¬
ragmkgm
¬
irjc
¬
Dag
¬
?<<<
¬
vj
¬
Ieo
¬
?<1?'
¬
V`e
¬
jodehvkye
¬
`ere
¬
kx
¬
vj
¬
hjgxvruhv
¬
a
¬
cjfen
oaxef
¬
ijrehaxv
¬
ijr
¬
v`e
¬
yjnavknkv{
¬
jyer
¬
v`e
¬
gepv
¬
1?
¬
cjgv`x
¬
(k'e'.
¬
vj
¬
v`e
¬
egf
¬
ji
¬
Ieo'
¬
?<18+'
¬¬
Xve|
14
Cjgv`n{
_evurgx
V`e
¬
vkce
¬
xerkex
¬
ji
¬
v`e
¬
X\F_
¬
|rkhex
¬
kx
¬
gjg
xvavkjgar{.
¬
agf.
¬
v`ux
¬
kx
¬
gjv
¬
xukvaone
¬
ijr
¬
cag{
¬
ehjgjcevrkh
¬
agan{xex'
¬
V`ereijre.
¬
}e
¬
ikrxv
¬
hjgyervef
¬
kv
¬
vj
¬
cjgv`n{
¬
revurgx'
¬
Iurv`ercjre.
¬
}e
¬
h`jxe
¬
v`e
¬
njmarkv`ckh
¬
revurgx
¬
jyer
¬
v`e
¬
xkc|ne
¬
revurgx
¬
vj
¬
x|reaf
¬
juv
¬
v`e
¬
yanuex
¬
ji
¬
v`e
¬
vkce
¬
xerkex
¬
ax
¬
v`e
¬
xkc|ne
¬
revurgx
¬
o{
¬
feikgkvkjg
¬
hag‛v
¬
oe
¬
nj}er
¬
v`ag
¬
ckgux
¬
1
¬
(
1<<%+'
¬¬¬
9<=<0<;<1<<11<1?<18<16<Dag
<< Dag
<1 Dag
<? Dag
<8 Dag
<6 Dag
<5 Dag
<9 Dag
<= Dag
<0 Dag
<; Dag
1< Dag
11 Dag
1?
X\F_

¬
Vuvjrkan
¬
‘
¬
MA_H@
¬
Yjnavknkv{
¬
Ijrehaxv
¬
?
“¬
«
¬
X|kfer
¬
Ikgaghkan
¬
Hjr|.
¬
?<1?
¬¬¬
Kg
¬
v`e
¬
mra|`
¬
oenj}.
¬
}e
¬
|njvvef
¬
v`e
¬
1?
cjgv`
¬
}ekm`vef
¬
cjykgm
¬
ayerame
¬
(]CA+
¬
agf
¬
v`e
¬
ep|jgegvkan
¬
}ekm`vef
¬
yjnavknkv{
¬
(E]CA+
¬
vj
¬
fecjgxvrave
¬
v`e
¬
yarkavkjg
¬
ji
¬
v`e
¬
ceag
¬
agf
¬
v`e
¬
yjnavknkv{
¬
jyer
¬
vkce'
¬¬
\neaxe
¬
gjve
¬
v`av
¬
v`e
¬
yjnavknkv{
¬
(|rjp{
¬
o{
¬
E]CA+
¬
cjyex
¬
xcjjv`n{
¬
(ugnkbe
¬
revurgx+.
¬
ouv
¬
kv
¬
kx
¬
cjre
¬
xegxkvkye
¬
vj
¬
gemavkye
¬
revurgx
¬
v`ag
¬
kv
¬
kx
¬
vj
¬
a
¬
|jxkvkye
¬
revurgx
¬
carbev'
¬¬¬
?<%
15%
1<%
5%<%5%1<%15%
_evurgx(%+
<%1%?%8%6%5%9%=%0%
?<%
15%
1<%
5%<%5%1<%15%%_EV
¬
(N@X+ ]CA(n`x+E]CA(_@X+

¬
Vuvjrkan
¬
‘
¬
MA_H@
¬
Yjnavknkv{
¬
Ijrehaxv
¬
8
“¬
«
¬
X|kfer
¬
Ikgaghkan
¬
Hjr|.
¬
?<1?
¬¬
Xve|
?4
Xuccar{
Xvavkxvkhx
Nev‛x
¬
gj}
¬
hanhunavex
¬
v`e
¬
fexhrk|vkye
¬
xvavkxvkhx
¬
ji
¬
v`e
¬
cjgv`n{
¬
revurgx
¬
xac|ne4
¬
ayerame.
¬
xvagfarf
¬
feykavkjg.
¬
evh'.
¬
vj
¬
`en|
¬
ux
¬
oevver
¬
ugferxvagf
¬
v`e
¬
fava'
¬¬
Ouknv
kg
¬
iughvkjgx
¬
irjc
¬
GucPN
¬
hag
¬
oe
¬
uvknktef
¬
ax
¬
x`j}g
¬
vj
¬
megerave
¬
a
¬
xev
¬
ji
¬
xvavkxvkhx
¬
vj
¬
xuccarkte
¬
|axv
¬
carbev
¬
vregfx'
¬¬
Uxkgm
¬
v`e
¬
xuccar{
¬
xvavkxvkhx
¬
}ktarf.
¬
egver
¬
v`e
¬
kg|uv
¬
fava
¬
xev
¬
(e'm'.
¬
revurgx
¬
hennx
¬
ragme
¬
kg
¬
hjnucg
¬
@+
¬
kgvj
¬
v`e
¬
„Vkce
¬
Xerkex–
¬
vao.
¬
v`e
¬
xvarvkgm
¬
henn
¬
kgvj
¬
v`e
¬
juv|uv
¬
ragme.
¬
agf
¬
v`eg
¬
hnkhb
¬
JB'
¬¬
V`e
¬
megeravef
¬
juv|uv
¬
vaone
¬
kx
¬
x`j}g
¬
oenj}'
¬
\neaxe
¬
gjve
¬
v`av
¬
hennx
¬
kg
¬
v`e
¬
juv|uv
¬
vaone
¬
are
¬
hjggehvef
¬
vj
¬
v`e
¬
kg|uv
¬
fava
¬
xjurhex2
¬
v`e
¬
Xuccar{
¬
xvavkxvkhx
¬
}ktarf
¬
}rkvex
¬
v`e
¬
ijrcunax
¬
ji
¬
eah`
¬
juv|uv
¬
uxkgm
¬
v`e
¬
naoenx
¬
x|ehkikef
¬
kg
¬
v`e
¬
ikrxv
¬
rj}
¬
ji
¬
eah`
¬
fava
¬
hjnucg'
¬