Univariate Volatility Models

arch.univaraite provides both high-level (arch_model()) and low-level methods (see Mean Models) to specify models. All models can be used to produce forecasts either analytically (when tractable) or using simulation-based methods (Monte Carlo or residual Bootstrap).

• Introduction
• Examples
• Forecasting
• Volatility Forecasting
• Value-at-Risk Forecasting
• Forecasting Scenarios
• Mean Models
• Volatility Processes
• Using the Fixed Variance Process
• Distributions
• Results
• Utilities
• Background and References