R project - GARCH model and index returns
Budget: €10 – €20 EUR
For this project please do not use any built-in R functions.
1. Write a general function that estimates a GARCH(1,1) for a time series, and that returns
the parameters, standard errors and the filtered variance process.
2. Download at least 15 years of daily SP 500 data (plus the data of 2021 up to today) and estimate the GARCH model.
3. Use the estimated parameters and the filtered volatility to simulate a 95% confidence interval
for a 30 day prediction period. Do this for every day in your sample.
4. Verify how often the realizations 30 days ahead violate the confidence interval. Make a nice
plot.
(if you use external code other then just yours cite it).
1. Write a general function that estimates a GARCH(1,1) for a time series, and that returns
the parameters, standard errors and the filtered variance process.
2. Download at least 15 years of daily SP 500 data (plus the data of 2021 up to today) and estimate the GARCH model.
3. Use the estimated parameters and the filtered volatility to simulate a 95% confidence interval
for a 30 day prediction period. Do this for every day in your sample.
4. Verify how often the realizations 30 days ahead violate the confidence interval. Make a nice
plot.
(if you use external code other then just yours cite it).