Software Packages for Econometrics: Financial Time Series Modeling

In the article the comparative analysis of most common among economists software packages R, EViews and Gretl in financial time series modeling is conducted. Advantages and disadvantages of each software are considered. Volatility is often used as a rough approximation to measuring of financial inst...

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Bibliographic Details
Published inInformation and Communication Technologies in Education, Research, and Industrial Applications Vol. 826; pp. 188 - 208
Main Authors Liashenko, Olena, Kravets, Tetyana, Krytsun, Kateryna
Format Book Chapter
LanguageEnglish
Published Switzerland Springer International Publishing AG 2018
Springer International Publishing
SeriesCommunications in Computer and Information Science
Subjects
GARCH model
Modeling
Software packages
Stock indices
Volatility
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ISBN3319761676
9783319761671
ISSN1865-0929
1865-0937
DOI10.1007/978-3-319-76168-8_9

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Summary:In the article the comparative analysis of most common among economists software packages R, EViews and Gretl in financial time series modeling is conducted. Advantages and disadvantages of each software are considered. Volatility is often used as a rough approximation to measuring of financial instruments risk. For the modeling of financial time series volatility Polish stock index WIG was chosen. For describing the volatility of financial time series econometric model of family GARCH is built by means of these packages.
ISBN:3319761676
9783319761671
ISSN:1865-0929
1865-0937
DOI:10.1007/978-3-319-76168-8_9