Session Ready
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.
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