Volatility Modeling: GARCH Processes in R

Using monthly exchange-rate data, we use the "rugarch" package to estimate a GARCH(1,1) process off of an AR(1) mean equation. We then compare the resulting volatility series with one calculated using an Exponential GARCH model. Tutorial available at https://github.com/hegerty/ECON343/blob/main/GARCH_JPY.md Data and more information available at https://github.com/hegerty/ECON343