Exercise

Compare GJR-GARCH with EGARCH

Previously you have fitted a GJR-GARCH and EGARCH model with Bitcoin return time series. In this exercise, you will compare the estimated conditional volatility from the two models by plotting their results.

The GJR-GARCH model estimated volatility is saved in gjrgm_vol, and EGARCH model estimated volatility is saved in egarch_vol. You will plot them together with actual Bitcoin return observations, which can be accessed by column ”Return” in bitcoin_data.

Instructions

100 XP

Plot the actual Bitcoin returns.
Plot GJR-GARCH estimated volatility.
Plot EGARCH estimated volatility.