Prof. Montassar Zayati, University of Sousse
Software: EViews
Language: French
Target audience: This workshop is intended for students and researchers who want to master the use of EViews software and seek to have the necessary autonomy to perform predictive work or explanatory
forecasting or explanatory analyses based on longitudinal section data.
Pre-requisites: Know how to use a computer under Windows and MS Excel. Have an introduction to to the EViews software. Basic knowledge of econometrics (estimation, tests, violation of classical hypotheses).
violation).
Saturday – December 18, 2021, 17:00 – 19:00, Room 4
Univariate modeling using the Box and Jenkins method
- Correlogram
- ARMA(p,q) identification
- Stationarity
- Validation
- Forecasting
Presentation of the characteristics of financial series.
Presentation of non-linear models.
ARCH-GARCH modeling.
Extensions of GARCH models
- IGARCH, EGARCH,
- M-GARCH
- GJR-GARCH
