This is the repository for R code associated with the paper "Garch Tutorial in R", submitted to RAC in march 2020.
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Install R (link here )
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Install RStudio (link here)
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Run script 00-Prepare_Computer.R to install all dependencies of the code (open script file in RStudio and press control + shift + enter)
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Execute other scripts in root folder in order to reproduce all results from the paper
| Filename | Description |
|---|---|
| 00-Prepare_computer.R | Setup computer by installing all required R packages. This is a mandatory step. |
| 01-Get_Index_Data.R | Using the internet, imports a dataset of prices of the Ibovespa index. |
| 02-Do_Descriptive_Figures.R | Creates and saves all descriptive figures presented in the paper. |
| 03-Do_ARCH_Test.R | Performs the arch test in the data. |
| 04-Estimate_Simple_Garch_Model.R | Estimate an introductory Garch model and present results. |
| 05-Find_Best_Garch_Model.R | Finds the best ARMA(ar, ma)-GARCH(p,q) model for the dataset. |
| 06-Simulate_Garch_Model.R | Simulates the previous GARCH model and plots paths and probabilities. |