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GARCH - EGARCH (volatility) analysis on S&P 500 historic data

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antonlau-1/GARCH-Analysis

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Crisis.m
Crisis.m
 
 
Election1.m
Election1.m
 
 
Election2.m
Election2.m
 
 
Election3.m
Election3.m
 
 
Post_Trump.m
Post_Trump.m
 
 
README.md
README.md
 
 
S&P 500 Historical Data 2 Crisis.csv
S&P 500 Historical Data 2 Crisis.csv
 
 
S&P 500 Historical Data 2016 election.csv
S&P 500 Historical Data 2016 election.csv
 
 
S&P 500 Historical Data 2020 election.csv
S&P 500 Historical Data 2020 election.csv
 
 
S&P 500 Historical Data 2024 election.csv
S&P 500 Historical Data 2024 election.csv
 
 
S&P 500 Historical Data Trump.csv
S&P 500 Historical Data Trump.csv
 
 
S&P 500 Historical Data post-Trump.csv
S&P 500 Historical Data post-Trump.csv
 
 
S&P 500 Post-Crisis Historical.csv
S&P 500 Post-Crisis Historical.csv
 
 
S&P 500 Pre-Crisis Historical.csv
S&P 500 Pre-Crisis Historical.csv
 
 
post_crisis.m
post_crisis.m
 
 
pre_crisis.m
pre_crisis.m
 
 
pre_crisis2.m
pre_crisis2.m
 
 
trump.m
trump.m
 
 

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This repository stores the MATLAB script I used to perform GARCH - EGARCH analysis on historic data of S&P 500. I also performed Ljung Box Test and AIC / BIC analysis to decide which model is better suited for the goal of exploring the volatility of stalk vs global events.

This is a passion project of mine to

  • apply theory to real life problems
  • further my understanding of the global economic life cycle

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GARCH - EGARCH (volatility) analysis on S&P 500 historic data

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