International Financial Management – seminar, Autumn 2023
(Dr. habil. Gábor Dávid Kiss)
EURUSD forecast methods
Excel's forecast
GARCH-simulation: Matlab, MFE toolbox, GARCH models, GJR-GARCH estimation, simulation with GJR-GARCH, scenarios
VAR macro model: input requirements, training and testing samples, diagnostics, impulse response function, variance decomposition, forecast
Eviews and Gretl