Lesson 11: Vector Autoregressive Models/ ARCH Models

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Assignments:

  • Read Section 5.4 of your text, with focus on Examples 5.4 and 5.5.
  • Read Examples 5.10 and 5.11 on pages 304-309 of your text.
  • Read through the Lesson 11 online notes that follow.
  • Complete Lesson 11 Assignment.

Overview:

This week we'll look at two topics - models for periods of volatile variance (ARCH models) and AR models for multivariate time series.

Learning Objectives:

After successfully completing this lesson, you should be able to:

  • Model the variance of a time series
  • Identify and interpret ARCH models
  • Simultaneously model multiple variables in terms of past lags of themselves and one another