MkFint / finance

Project finance
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Download series of daily prices of three financial institutions over the 2012-2022 period. You can download data from french or international depositories, insurances or broker-dealers. For example, you can download data from yahoo finance or Refinitiv. Over the 2012-2018 period, choose the optimal conditional variance model and estimate it. You should pay a particular attention to the property of time series during this step. Analyse the conditional variance estimated (with the model chosen at step 2) over the 2012-2018 period . Using the model estimated at step 2, produce daily forecasts of the conditional variance, i.e., 1-step ahead forecasts every day, over the 2019-2022 period. Analyse the predictions made over the 2019-2022 period.