Volatility Analysis Using GARCH Models
Publicada el 2026-07-29
Descripción de la oferta
Project Title: Volatility Analysis Using GARCH Models I am looking for an experienced statistician or financial econometrics expert to perform a comprehensive volatility analysis. Scope of Work: - Calculate logarithmic returns. - Perform descriptive statistical analysis. - Conduct the Augmented Dickey-Fuller (ADF) test for stationarity. - Perform the ARCH-LM test to detect volatility clustering. - Estimate GARCH(1,1), EGARCH(1,1), and GJR-GARCH/TGARCH(1,1) models. - Compare models using AIC, BIC, and Log-Likelihood to identify the best-fitting model. - Generate volatility plots and interpret the results. - Provide a clear explanation of the methodology, model selection, and findings. Requirements: - Strong knowledge of financial econometrics and time-series analysis. - Experience with GARCH-family models. - Ability to explain the analysis and results clearly. - Please share examples of similar work completed in the past when submitting your proposal.
Skills
Fuente original: freelancer