Lesson 11: Vector Autoregressive Models/ ARCH Models
- 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.
This week we'll look at two topics - models for periods of volatile variance (ARCH models) and AR models for multivariate time series.
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