Tag: garch

36 Is there any gold standard for modeling irregularly spaced time series? 2012-08-06T21:05:31.557

32 What is the difference between GARCH and ARMA? 2012-10-30T14:20:03.747

11 How to interpret GARCH parameters? 2013-06-15T14:32:51.140

11 For intuition, what are some real life examples of uncorrelated but dependent random variables? 2015-12-26T03:50:36.210

10 Fit a GARCH (1,1) - model with covariates in R 2014-04-15T07:03:31.930

9 Has anybody ever found data where ARCH and GARCH models work? 2015-04-16T07:23:54.917

9 Implementation of CoVaR (a systemic risk measure) in R 2015-12-31T15:39:31.980

9 If $X_t^2$ is stationary, is $X_t$ necessarily stationary? 2017-03-28T03:17:17.230

7 How Large a Difference Can Be Expected Between Standard GARCH and Asymmetric GARCH Volatility Forecasts? 2010-07-19T20:21:35.683

7 How to choose number of lags in ARCH models using ARCH LM test? 2011-02-23T09:50:38.280

7 Is there an equivalent of ARMA for rank correlation? 2011-04-08T08:14:07.460

7 How to decide the p and q for GARCH model? 2014-12-09T18:08:33.887

6 Time series analysis: since volatility depends on time, why are returns stationary? 2016-02-11T23:55:36.783

5 Better understanding of GARCH and ARCH models 2014-01-08T22:14:00.313

5 Which econometric models can be used to forecast security returns + ARIMA/GARCH questions 2015-04-14T02:51:06.763

5 Comparing AIC between ARMA and GARCH 2016-11-28T10:11:59.267

4 Fitting a GARCH(1,1) model 2011-03-08T10:48:41.757

4 How to interpret coefficients from a GARCH model? 2011-11-24T13:28:59.307

4 Automated parameter selection for a GARCH model, in a similar manner to the forecast package 2012-01-04T17:03:30.563

4 Does the GARCH approach model prices or returns? 2012-04-30T21:58:50.203

4 VaR in case of ARMA-GARCH? 2013-04-28T09:19:22.773

4 GARCH modelling 2014-03-17T20:53:34.397

4 Beta-t-EGARCH model, what is the unconditional variance 2014-08-02T11:59:47.560

4 Persistence in GJR-GARCH (asymmetric GARCH) 2014-09-18T13:15:08.210

4 On forecasting, the mean squared error and realized volatility 2015-03-30T01:52:40.547

4 GARCH vs SV for Forecasting 2015-08-04T10:22:50.673

4 Is a (G)ARCH model a regression model? 2015-09-18T07:06:55.440

4 Forecasting AR-ARCH/GARCH models 2015-10-03T19:26:25.487

4 ARMA-GARCH model initial parameters for optimizer 2015-11-24T15:49:23.257

4 Lag length selection in ARCH-LM test 2016-08-27T00:19:42.630

4 What to do with missing data in a DCC-GARCH models for 2 assets? 2017-12-14T10:05:52.230

4 Bootstrap sample with size greater than the original sample 2018-01-25T12:55:37.937

3 How to handle outliers in GARCH model? 2011-12-07T14:04:43.180

3 Estimating correlation with DCC GARCH 2012-12-10T11:05:20.763

3 Adding exogeneous variables to a GARCH model 2013-04-16T18:54:31.250

3 Error term/Innovation process in ARCH/GARCH processes? 2013-04-25T14:31:57.337

3 How do I forecast a timeseries of data using GARCH(1,1)? 2013-08-20T15:26:11.650

3 What is fitted in a GARCH: residual or log-return? 2013-10-05T10:18:35.100

3 Procedure for fitting an ARMA/GARCH Model 2013-11-28T07:16:52.180

3 Quasi Maximum Likelihood estimator for GARCH with jump (Compoud poisson process with normal distribution) 2014-01-26T20:43:28.193

3 Is a GARCH process serial-uncorrelated? 2014-05-01T10:59:02.210

3 Why do I get very different results estimating GARCH-M model in EViews and R (rugarch)? 2014-05-12T16:11:54.627

3 Testing for heteroskedasticity of time series in R 2014-07-17T06:21:50.880

3 Computing VaR with AR-GARCH 2014-12-31T00:00:41.323

3 Maximum likelihood in the GJR-GARCH(1,1) model 2015-02-04T11:59:54.037

3 Testing the sum of GARCH(1,1) parameters 2015-05-09T17:34:14.823

3 Analysis of Multiple Time Series Data with Exogenous Shocks 2015-05-14T21:49:46.207

3 ARMA-GARCH model selection / fit evaluation 2015-07-03T15:17:05.603

3 Forecasting Bayesian GARCH(1,1) volatilities 2015-12-18T15:32:27.117

3 Derivation of GARCH student t log-likelihood 2016-03-19T20:03:58.960

3 ARCH(∞) = GARCH(p,q) proof 2016-03-22T15:59:56.897

3 (2m-1)th Moments of GARCH(1,1) Process 2016-03-25T16:46:06.100

3 Volatility forecasting in presence vs. absence of ARCH effects 2016-08-22T16:09:43.743

3 Dynamic Conditional Correlation (DCC) model yields unexpected sign of fitted correlations 2016-11-20T14:29:59.137

3 What is the extra term that we include in the GARCH model to transform it into an ARMA process? 2017-07-14T17:19:54.123

3 Nonparametric Quantile Regression for AR(1)-ARCH(1) process 2017-10-21T23:58:11.710

3 GARCH estimates differ in rugarch (R) vs. EViews 2017-10-30T17:09:04.197

3 Fitting a Multivariate ARMA-GARCH model 2017-11-11T12:22:25.353

3 Understanding the GARCH(1,1) model: the constant, the ARCH term and the GARCH term 2017-11-18T16:57:47.133

3 Why is a GARCH model useful? 2017-11-20T19:51:37.673

2 How to analyze the volatility with GARCH? 2011-11-14T11:25:40.000

2 What is the error term in a Multiplicative Error Model? 2012-06-25T21:22:24.367

2 ARIMA-GARCH model for exchange rates 2013-01-31T08:12:39.553

2 Interpretation of McLeod-Li test for ARCH effect 2013-04-02T01:58:55.627

2 Fancy Autocorrelation plot of rugarch package? 2013-04-29T12:38:02.487

2 DCC GARCH in Stata 2013-09-17T15:55:17.457

2 Raw return vs. percentage return to calculate volatility 2013-10-10T15:42:26.310

2 Basic GARCH (1,1) question 2013-10-18T01:18:25.060

2 Estimating the asymptotic distribution of a quasi maximum likelihood estimator 2014-02-01T11:47:21.090

2 Distribution fitting (maximum likelihood) for autocorrelated data 2014-02-03T07:40:40.310

2 How to interpret GARCH volatility forecast? 2014-02-07T07:53:47.513

2 Simple asymmetric ARCH vs asymmetric ARCH 2014-02-09T05:16:40.650

2 ARMA/GARCH estimation in sequence 2014-02-23T22:19:01.930

2 Is it true that if $ \epsilon_t \sim^{iid} (0,1) $, then $ E(\epsilon_t^{2}\epsilon_{t-j}^{2}) = 1 $? 2014-05-03T11:32:19.053

2 How to fit a TAR-GARCH model in R 2014-05-12T19:46:26.097

2 Cannot replicate the AIC in a GARCH model 2014-05-25T14:55:41.897

2 Can AIC be used to compare an ARMA model to an ARMA-GARCH model? 2014-08-25T11:07:48.677

2 GARCH forecasting 2014-10-11T21:32:18.450

2 How is the use of OLS in estimating ARCH(q) models justified? 2014-11-18T19:13:48.200

2 How to detect GARCH parameters must be updated? 2014-12-02T17:40:16.703

2 The use of GARCH 2015-03-23T17:43:46.030

2 ARCH + GARCH sum to more than 1. Dropping the intercept 2015-04-17T14:43:18.537

2 How should I test for multivariate ARCH effects in R? 2015-05-19T12:31:12.840

2 Does covariance nonstationarity violate GARCH modelling assumptions? 2015-05-26T20:39:16.330

2 How to choose the order of a GARCH model? 2015-05-30T17:19:47.890

2 GARCH modelling and forecasting 2015-06-01T16:52:06.480

2 Question regarding the interpretation of the GARCH coefficients, is it possible to take the logarithms? 2015-06-02T07:55:12.907

2 Best GARCH model using R 2015-06-05T15:18:25.663

2 Modelling time varying volatility when GARCH(1,1) coefficients sum to value greater one 2015-06-09T20:27:01.777

2 Density forecasting 2015-08-02T15:59:56.533

2 Degrees of freedom in regression model on GARCH return process 2015-09-28T05:37:13.650

2 How to reconstruct a stock price from ARMA/GARCH fit 2015-11-06T17:39:34.250

2 Easy explanation of how to fit a multivariate GARCH model (in Gretl) 2016-01-07T09:47:19.677

2 MOOC about GARCH model 2016-02-26T09:32:53.997

2 GARCH in Stata: standardized errors and predicted innovations 2016-03-01T16:08:49.847

2 Value at risk under Student-$t$, skew Student-$t$ and Generalized error distribution 2016-03-09T09:37:34.547

2 ARMA-GARCH forecast evaluation: in-sample, out-of-sample, rolling 2016-03-11T01:47:35.867

2 GARCH diagnostics: autocorrelation in standardized residuals but not in their squares 2016-03-19T15:04:04.800

2 How are errors terms calculated in GARCH model by rugarch package? 2016-06-07T16:47:31.843