GARCH and Conditional CAPM

thepay · October 24th, 2001, 7:56 am

Any good books on these topics? Easy to read ones, pls...

jungle · October 24th, 2001, 12:50 pm

Quantitative Methods in Finance by Terry Watsham, Keith Parramore, International Thomson Business Press; ISBN: 186152367Xthis was recommended to me by a prof. who said it starts simple and has a steep learning curve re: garch. i have yet to buy it - exams next week, so i'm "off" derivatives in the interim.

antoine · October 29th, 2001, 3:18 pm

I own it it's a very good introduction to garch ( and also many other topics, such as econometrics in gemeral), and probably enough for you to create an excel spreadsheet implementing a GARCH(1,1) with gaussian likelihood. It will not really take you to the conditional CAPM so beware. Very simple though and with good examples.