ARCH, GARCH, and Volatility E-Course (2nd Edition)

[TomDoan]

The course materials from our e-course on ARCH, GARCH and Volatility Models have now been updated to a 2nd edition. The course materials package includes a 358 page PDF e-book, along with the accompanying example programs, sample data files, and procedures.

These are included in the "Other Resources" on RATS distributions beginning with version 11.1.

Preface and Table of Contents

Sample Chapter

Download a zip which includes the course document, programs and data.