Table of Contents
Notice
- 2015-Mar-07: The lecture room has changed
- Odds weeks: Thursday 8-10am, Main Building 401.
- Even weeks: Thursday 8-10am, Building 4, Lab 214.
Literature
- Tsay, Ruey S. Analysis of financial time series. 3rd Edition. John Wiley & Sons, 2010.
- Tsay, Ruey S. Multivariate Time Series Analysis: With R and Financial Applications. John Wiley & Sons, 2013.
Lecture notes
- L1: Introduction to Time Series Analysis
- L2: Linear Time Series | R code
- L3: Conditional Heteroscedastic Models | R code
- L4: Introduction to Multivariate Time Series Models | R code
- L5: Multivariate Volatility Models | R code
- L6: Factor Models | R code
- L7: Multivariate Time Series with Copulas | R code
- L8: Extreme Value Theory (Guest Lecture)
Data sets
Data sets can be retrieved from
- http://faculty.chicagobooth.edu/ruey.tsay/teaching/fts3/
- http://faculty.chicagobooth.edu/ruey.tsay/teaching/mtsbk/
Lab Exercises
Please send your solution to me before the due day. Please use the string “TS2015SPRING” in your mail subject line. Your submission will be ignored without such string.
Dear professor Li,our group decided to choose SW-GARCH without R package.
Best wishes!
Dear professor Li,our group decide to choose iGARCH model as our presentation content.
Dear professor Li：
we will choose the EGARCH-GED model as our presentation content.
Happy Weekend!
Dear professor Li,our group choose bayesGARCH model instead of the former GO-GARCH model,because we find GO-GARCH is difficult to us.
Dear professor Li,our group choose APARCH model instead of the former LSTGARCH model.because we cannot find the variance model of LSTGARCH in any GARCH package.
Dear professor Li,our group choose PGARCH as our presentation topic.
Best wishes!
Dear professor Li：
we will choose the EGARCH-GED model as our presentation content.
Happy Weekend!
Dear professor Li,our group choose iGARCH as our presentation topic.
Best wishes!
Dear professor Li,our group choose figarch as our presentation topic.
Best wishes!
Dear professor Li,our group decide to choose bayesDccGARCH model as our presentation content.
Have a nice day!
Dear professor Li,our group decide to choose TGARCH model as our presentation content.
Have a nice day!
yes yesnoanimals that speak are just funny..’it’s an insult to the vw heritage’ ….sounds like someone else has their head up their arse.the tfl is complicated, you miss bits so you watch it twice.the mars ad is just very plain and normal…
Dear professor Li,our group decided to choose fGARCH.use Package fgarch.Happy Weekend!
Dear professor Li,our group decided to choose GJR-GARCH.Happy Weekend!
Dear professor Li,our group decide to choose iGARCH(the integrated GARCH) model as our presentation content.
Best wishes!
Dear professor Li,our group decided to choose GO-GARCH(GO-GARCH).
Best wishes!
Dear professor Li,our group decide to choose ABSGARCH model as our presentation content.
Best wishes!
CGARCH
Dear professor Li,our group decide to choose LSTGARCH model as our presentation content.
Have a nice day!
Dear professor Li,our group decided to choose GARCH-in-mean (GARCH-m).use Package rugarch.Happy Weekend!
Dear professor Li,we changed to sGarch,THX
Dear professor Li,our group choose egarch as our presentation topic.
Best wishes!
nice to meet u
组员：王灵玲 李若宁
李丰老师，您好！我们打算用Log-garch模型，用到的包是”lgarch”。