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GARCH & Co

The end of the course is near. You have now the skills to analyze the time-varying volatility of financial returns using GARCH models. Volatility is however not the only feature that is time-varying. In this exercise, you'll analyze the standardized returns of the Microsoft and Walmart returns. You will discover that their correlations are dynamic.

The GARCH model for the daily Microsoft and IBM return has already been estimated for you and the ugarchfit output variables are available as msftgarchfit and wmtgarchfit.

This exercise is part of the course

GARCH Models in R

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Hands-on interactive exercise

Have a go at this exercise by completing this sample code.

# Compute standardized returns
stdmsftret <- ___(msftgarchfit, ___)
stdwmtret <- ___(wmtgarchfit, ___)

# Print the correlation
___(stdmsftret, stdwmtret)
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