Financial Econometrics Homework 5

(4 points) Find an appropriate GARCH model for the KOSPI index returns during the period 2021:01:02-2021:12:30 (on the basis of daily, closing prices).1 Examine whether the coe¢ cient estimates are signi…cant at the conventional signi…cance levels.















Installing arch package for Python: 1. Select Anaconda prompt



2. Put command “conda install -c bashtage arch” and run it.