I am starting to think about my dissertation topic for my undergraduate degree.

I am interested in comparing volatility of stock indices during COVID-19 to the years leading up to the pandemic. I have conducted some research and, when modelling volatility, most others seem to use some form of the ARCH model.

If anyone could give me some introductory, or comprehensive, reading on how to create these models (or volatility models in general) it would be greatly appreciated.

As a side note, I have not taken any econometrics models as of yet, however I feel like I have quite a sound mathematical ability.

Thank you in advance, any guidance will be humbly received.



A decent, non-technical overview is "A Good Introduction to GARCH and EWMA (Exponentialy Weighted Moving Average)" by David Harper. You should be able to find this online.

Also see NYU Stern's Vol Lab - the whole Vol Lab site is worth browsing and should be helpful to you. The overview of GARCH models is at: https://vlab.stern.nyu.edu/docs/volatility.


  • $\begingroup$ Great, thank you. I'll start with those then! $\endgroup$ – lef00035 Dec 14 '20 at 9:55

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.