GARCH model: Volatility Clustering in Markets
GARCH model estimation explains volatility clustering in S&P 500 returns through conditional variance, likelihood iteration, persistence, and risk-desk applications.
Time Series
Cointegration and Engle-Granger Method: Long-Run Testing
Cointegration and Engle-Granger Method tests whether non-stationary economic variables share a stationary long-run equilibrium instead of a spurious trend relationship.
Granger Causality: Predictive Order in Time Series
Granger Causality tests whether past oil-price movements improve gasoline-price forecasts after gasoline’s own history is included in the time-series model.
Augmented Dickey-Fuller Test: Detecting Unit Roots in Economic Time Series
The Augmented Dickey-Fuller test is the standard procedure for detecting unit roots in economic time series, preventing the spurious regression...