Econometric Modeling of Financial Time Series Volatility Using Software Packages
نویسندگان
چکیده
The article is devoted to the comparative analysis of software packages in financial time series modeling. The most common among economists packages R, Eviews and Gretl are considered. Volatility is often used as a rough approximation to measuring of overall risk financial instruments. Polish stock index WIG for the modeling of financial time series volatility was chosen. Econometric model of family GARCH describing the volatility of financial time series is built by means of these packages. Advantages and disadvantages of each software are considered.
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