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Research Data Analysis Using EViews: An Empirical Example of Modeling Volatility
Abstract
The aim of this chapter is to provide a detailed empirical example of autoregressive conditional heteroskedasticity (ARCH) model and selected generalized ARCH models. Before the ARCH/GARCH models are estimated, several calculations and tests should be done. The mean model is determined using the autocorrelation function and partial autocorrelation function and also the unit root test. The existence of ARCH effect is tested using ARCH-LM test. After these steps are done, then ARCH/GARCH models can be estimated. All these theoretical aspects are applied to Sofia Stock Indexes (SOFIX) using EViews 9 software package. The windows and output of EViews are presented. To show the output's academic writing format researchers' outputs are presented in a table.
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