This video explains how to forecast volatility of the conditional variance in the generalised autoregressive conditional heteroscedasticity (GARCH) model using an approach that beginners can grasp. The GARCH Modeling series has 9 collections on the following topics:
- (1) ARCH versus GARCH (Background),
- (2) Basics of GARCH Modeling,
- (3) how to estimate a simple GARCH model,
- (4) ARCH versus GARCH (Estimations),
- (5) how to estimate GARCH-in-Mean models,
- (6) how to estimate Threshold GARCH (GJR GARCH) models,
- (7) how to estimate Exponential GARCH models,
- (8) GARCH models and diagnostics and (9) how to forecast GARCH volatility
NB: The video was prepared and published by Dr. Ngozi Adeleye (PhD). It has been shared here with her full consent, authority and acknowledgement.
