GARCH Investexcel.net

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WEEKLY Page 1 GARCH(1,1) Analysis 0.00009403 ω 0.00000397 The default data is the GBP/CAD exchange rate bet α 0.08242922 Go to Data>Solver and click Solve to run the anal β 0.87405664 Date Rate Residual Squared Lagged Conditional Log Residual Squared Variance Likelihood Change Function 2007-05-01 2.2227 2007-05-02 2.2188 -0.0039 0.0000 0.0001 2007-05-03 2.2144 -0.0044 0.0000 0.0000 0.0001 3.6428 2007-05-04 2.204 -0.0104 0.0001 0.0000 0.0001 3.1259 2007-05-05 2.2006 -0.0034 0.0000 0.0001 0.0001 3.7019 2007-05-06 2.2053 0.0047 0.0000 0.0000 0.0001 3.6651 2007-05-07 2.2053 0 0.0000 0.0000 0.0001 3.8322 2007-05-08 2.2035 -0.0018 0.0000 0.0000 0.0001 3.8466 2007-05-09 2.1969 -0.0066 0.0000 0.0000 0.0001 3.5672 2007-05-10 2.2033 0.0064 0.0000 0.0000 0.0001 3.5889 2007-05-11 2.2019 -0.0014 0.0000 0.0000 0.0001 3.8984 2007-05-12 2.2018 -0.0001 0.0000 0.0000 0.0001 3.9451 2007-05-13 2.199 -0.0028 0.0000 0.0000 0.0001 3.9058 2007-05-14 2.1991 0.0001 0.0000 0.0000 0.0001 3.9979 2007-05-15 2.1981 -0.001 0.0000 0.0000 0.0001 4.0148 2007-05-16 2.1844 -0.0137 0.0002 0.0000 0.0000 2.1124 2007-05-17 2.1814 -0.003 0.0000 0.0002 0.0001 3.8540 2007-05-18 2.1774 -0.004 0.0000 0.0000 0.0001 3.8161 2007-05-19 2.1622 -0.0152 0.0002 0.0000 0.0001 1.9307 2007-05-20 2.1483 -0.0139 0.0002 0.0002 0.0001 2.5147 2007-05-21 2.1483 0 0.0000 0.0002 0.0001 3.7777 2007-05-22 2.1432 -0.0051 0.0000 0.0000 0.0001 3.6490 2007-05-23 2.1402 -0.003 0.0000 0.0000 0.0001 3.7807 2007-05-24 2.1482 0.008 0.0001 0.0000 0.0001 3.4081 2007-05-25 2.1508 0.0026 0.0000 0.0001 0.0001 3.8208 2007-05-26 2.15 -0.0008 0.0000 0.0000 0.0001 3.8960 2007-05-27 2.1415 -0.0085 0.0001 0.0000 0.0001 3.3410 2007-05-28 2.1416 1E-04 0.0000 0.0001 0.0001 3.9158 2007-05-29 2.1419 0.0003 0.0000 0.0000 0.0001 3.9477 2007-05-30 2.1394 -0.0025 0.0000 0.0000 0.0001 3.9226 2007-05-31 2.1227 -0.0167 0.0003 0.0000 0.0001 1.3800 2007-06-01 2.1183 -0.0044 0.0000 0.0003 0.0001 3.7087 2007-06-02 2.1127 -0.0056 0.0000 0.0000 0.0001 3.6415 2007-06-03 2.1017 -0.011 0.0001 0.0000 0.0001 2.9866 2007-06-04 2.1016 -0.0001 0.0000 0.0001 0.0001 3.8437 http://investexcel.net Unconditiona l Variance

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its model for GARCH technique

Transcript of GARCH Investexcel.net

WEEKLYGARCH(1,1) Analysishttp://investexcel.netUnconditional Variance0.000094030.00000397The default data is the GBP/CAD exchange rate between 1st May 2007 and 18th October 20100.08242922Go to Data>Solver and click Solve to run the analysis0.87405664DateRateResidualSquaredLaggedConditionalLogConditionalUnconditionalResidualSquaredVarianceLikelihoodStandardStandardChangeFunctionDeviationDeviationtime weightedno time 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L4154.5453
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Page &P
WEEKLY
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Page &P
Date
Standard Deviation
Conditionaland Unconditional GBP/CAD Exchange Rate Volatility