Volatility Modeling using GARCH models.

| February 9, 2015

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You are to carry out an analysis of the volatility of two different datasets using GARCH. Data should be financial, commodity, or foreign exchange. You should analyse the data at two different frequencies. Daily (1-day) and Weekly . The model(s) you use should be specified and you should discuss the advantages and disadvantages of the model as well as any difficulties that you find in running the model. A comparison of the results should be made. Only Univariate GARCH models should be used. Comparison should be both statistical and economic in nature.
The models should be run using Rats (univariate and multivariate) and Excel (univariate only) and any differerences in output noted.
Graphs and Tables should be used and presentation will be marked.
Finally a short learning statement should be written and included in the report.
. I would like you to use Tables and Graph ( Excel file and world file )
and writ figure under each table and graph with number and details
about each table and graph , than analysis each one and compare it with the other table and graph , for example ( weekly with Daily ).
. if you use some Shortcuts please explain it in the end of page
. my companies are Air France and Oil , explain the changes and the effects occurred during the rise and fall . And the impact on Air France .
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