List of figures
Preface
Notation and typography
1 Introduction to financial time series
1.1 The object of interest
1.2 Approaching the dataset
1.3 Normality
1.4 Stationarity
1.4.1 Stationarity tests

1.5 Autocorrelation
1.5.1 ACF
1.5.2 PACF

1.6 Heteroskedasticity
1.7 Linear time series
1.8 Model selection
1.A How to import data

2 ARMA models
2.1 Autoregressive (AR) processes
2.1.1 AR(1)
2.1.2 AR(p)

2.2 Moving-average (MA) processes
2.2.1 MA(1)
2.2.2 MA(q)
2.2.3 Invertibility

2.3 Autoregressive moving-average (ARMA) processes
2.3.1 ARMA(1,1)
2.3.2 ARMA(p,q)
2.3.3 ARIMA
2.3.4 ARMAX

2.4 Application of ARMA models
2.4.1 Model estimation
2.4.2 Postestimation
2.4.3 Adding a dummy variable
2.4.4 Forecasting


3 Modeling volatilities, ARCH models, and GARCH models
3.1 Introduction
3.2 ARCH models
3.2.1 General options
ARCH
Distribution

3.2.2 Additional options
ARIMA
The het() option
The maximize_options options

3.2.3 Postestimation

3.3 ARCH(p)
3.4 GARCH models
3.4.1 GARCH(p,q)
3.4.2 GARCH in mean
3.4.3 Forecasting

3.5 Asymmetric GARCH models
3.5.1 SAARCH
3.5.2 TGARCH
3.5.3 GJR–GARCH
3.5.4 APARCH
3.5.5 News impact curve
3.5.6 Forecasting comparison

3.6 Alternative GARCH models
3.6.1 PARCH
3.6.2 NGARCH
3.6.3 NGARCHK


4 Multivariate GARCH models
4.1 Introduction
4.2 Multivariate GARCH
4.3 Direct generalizations of the univariate GARCH model of Bollerslev
4.3.1 Vech model
4.3.2 Diagonal vech model
4.3.3 BEKK model
4.3.4 Empirical application
Data description
Dvech model


4.4 Nonlinear combination of univariate GARCH—common features
4.4.1 Constant conditional correlation (CCC) GARCH
Empirical application

4.4.2 Dynamic conditional correlation (DCC) model
Dynamic conditional correlation Engle (DCCE) model
Empirical application
Dynamic conditional correlation Tse and Tsui (DCCT)
Prediction


4.5 Final remarks

5 Risk management
5.1 Introduction
5.2 Loss
5.3 Risk measures
5.4 VaR
5.4.1 VaR estimation
5.4.2 Parametric approach
5.4.3 Historical simulation
5.4.4 Monte Carlo simulation
5.4.5 Expected shortfall

5.5 Backtesting procedures
5.5.1 Unilevel VaR tests
The unconditional coverage test
The independence test
The conditional coverage test
The duration tests



6 Contagion analysis
6.1 Introduction
6.2 Contagion measurement
6.2.1 Cross-market correlation coefficients
Empirical exercise

6.2.2 ARCH and GARCH models
Empirical exercise
Markov switching

6.2.3 Higher moments contagion
Empirical exercise



Glossary of acronyms
References
Author index
Subject index

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