DEPARTMENT OF ECONOMICS
ECON-4200H: TOPICS IN ECONOMETRICS
DUE: APRIL 12, 2022
The posted dataset contains information on the daily returns of the DOW Index for the period
March 2010 to March 2020.
(a) Test for the presence of ARCH effects in the daily returns (variable r). What do you
(b) Plot the daily returns. What do you observe?
(c) Estimate an ARCH(1) model on the daily return series. Interpret the results.
(d) Estimate a GARCH(1,1) model on the daily return series. Interpret the results.
(e) Estimate a T-GARCH(1,1) model on the daily return series. Interpret the results.
(f) Of the models estimated in parts (c), (d), and (e), which provides the best fit?