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Statistics Seminar Series| Topic 2: ARCH and GARCH processes.

Start Date: June 1, 2017
End Date: June 1, 2017

By Professor Joaquín Ortega (CIMAT, Mexico)
 
Topic 2. ARCH and GARCH processes: Financial time series and heteroscedasticity. Limitations of autoregressive processes for modeling changing volatility. AutoRegressive Conditional Heteroscedatic (ARCH) processes, main properties. Generalized ARCH processes, main properties. Estimation. Model diagnostics. Prediction. Applications to financial time series using R.
 
Biography: Dr. Joaquín Ortega is a Professor at the Mathematics Research Center (CIMAT) in Guanajuato, Mexico. He was previously a faculty and research scholar at the Central University of Venezuela and the Venezuelan Scientific Research Institute (IVIC). He held visiting positions for a year at the Université de Paris-Sud, Orsay, and the Universidad de Valladolid, Spain. Dr. Ortega holds a BSc degree in Physics and Mathematics from King’s College London and a PhD degree in Mathematics from Imperial College London. His main areas of interest in research are spectral analysis of time series, functional data analysis, clustering and classification, Gaussian processes and stochastic analysis and modeling of random sea waves.
 

More Information:

For more info contact: Prof. Hernando Ombao: email: hernando.ombao@kaust.edu.sa
 
Date: Thursday 1st Jun 2017
Time:03:30 PM - 06:00 PM
Location: Building 1, level 4 room 4102
Light refreshments will be served at 3:00 PM