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  3. GARCH Models in R

Exercise

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.

Instructions 1/3

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  • Complete the code to obtain the standardized MSFT and WMT returns from the already estimated GARCH models
  • Print the correlation