Replication Data for: A GARCH Tutorial with R
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representation and estimation process, along with a descriptive example of a real-world application of volatility modelling. Methods: we use a GARCH model to predict how much time it will take, after the latest crisis, for the Ibovespa index to reach its historical peak once again. The empirical data covers the period between years 2000 and 2020, including the 2009 financial crisis and the current 2020’s episode of the COVID-19 pandemia. Conclusion: we find that, according to our GARCH model, Ibovespa is more likely than not to reach its peak once again in one y' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["GARCH","Tutorial-article"]} <|eot_id|>
 Here is the Description of a dataset. Description:'Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representation and estimation process, along with a descriptive example of a real-world application of volatility modelling. Methods: we use a GARCH model to predict how much time it will take, after the latest crisis, for the Ibovespa index to reach its historical peak once again. The empirical data covers the period between years 2000 and 2020, including the 2009 financial crisis and the current 2020’s episode of the COVID-19 pandemia. Conclusion: we find that, according to our GARCH model, Ibovespa is more likely than not to reach its peak once again in one y' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
Context: Modelling Volatility is an advanced technique in financial econometrics, with several applications for academic research. Objective: In this tutorial paper we will address the topic of volatility modeling in R. We will discuss the underlying logic of GARCH models, their representation and estimation process, along with a descriptive example of a real-world application of volatility modelling. Methods: we use a GARCH model to predict how much time it will take, after the latest crisis, for the Ibovespa index to reach its historical peak once again. The empirical data covers the period between years 2000 and 2020, including the 2009 financial crisis and the current 2020’s episode of the COVID-19 pandemia. Conclusion: we find that, according to our GARCH model, Ibovespa is more likely than not to reach its peak once again in one y
GARCH; Tutorial-article