This R project involves analyzing and modeling yield curve data using GARCH models and visualizing the results. The project includes differentiating the time series, fitting a GARCH model with the skewed t-distribution, and making density diagrams and Q-Q plots to compare the original data with GARCH residuals.
freynes/Analyzing-the-volatility-of-US-bonds
Analyzed the volatility of US bonds since 1961 using GARCH analysis.
MIT