freynes / Analyzing-the-volatility-of-US-bonds

Analyzed the volatility of US bonds since 1961 using GARCH analysis.

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Analyzing-the-volatility-of-US-bonds

This R project involves analyzing and modeling yield curve data using GARCH models and visualizing the results. The project includes differentiating the time series, fitting a GARCH model with the skewed t-distribution, and making density diagrams and Q-Q plots to compare the original data with GARCH residuals.

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Analyzed the volatility of US bonds since 1961 using GARCH analysis.

License:MIT License