THIS IS NOT INVESTMENT ADVICE. YOU ARE RESPONSIBLE FOR YOUR OWN GAINS AND LOSSES. I did not intend for this to be a two-part series but I just could not be complacent with Utility Spread and Financial Turbulence (for avid readers, there was a sm...

This post examines conditional heteroskedasticity models in the context of daily stock price data for Allied Irish Banks (AIB), specifically how to test for conditional heteroskedasticity in a series, how to approach model specification and estimation when time-varying volatility is present, and how to forecast with these models; all of this is done in R,

This was my first year to attend the R/Finance conference that focuses on the use R programming in applied finance. I was unable to get out there until mid-morning on Friday, so I missed Jeff Ryan’s tutorial on Automated Trading … Continue reading →