Tag: volatility-forecasting

9 Why is volatility an important topic in financial econometrics? 2012-08-11T13:04:42.330

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

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

4 Is there a mathematical model that distinguishes between volatility and trend? 2010-12-01T16:14:58.283

4 Weak stationarity and ARMA-ARCH/GARCH models? 2013-11-30T09:26:10.587

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

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

3 Exponentially Weighing Moving Average (EWMA) for weekly data 2014-10-10T16:10:02.903

3 Best way to deal with forecasting with noisy data? 2015-08-04T15:06:40.757

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

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

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

3 Stochastic volatility: particle filter vs Metropolis-Hastings 2017-12-21T17:11:18.350

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

2 Stochastic Volatility Model 2014-10-18T23:25:02.323

2 Forecastability and Coefficient of Variation 2014-11-23T11:04:29.770

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

2 Why "modeling volatility" is not an oxymoron? 2015-01-05T17:18:12.850

2 How to calculate Parkinson's Historical Volatility 2015-05-03T14:49:01.527

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

2 Setting up a MCMC scheme for Multivariate Stochastic Volatility 2015-12-20T15:28:50.490

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

2 Why is the periodogram of differenced white noise not flat? 2016-03-27T21:16:19.690

2 Forecasting next value range based on variance and historical values 2016-05-18T13:35:26.423

2 rugarch R: Volatility forecasts with 5 minute data problem 2016-08-18T16:33:51.717

2 Estimating the confidence interval for the volatility of a GARCH model 2016-08-21T19:42:53.937

2 Remaining heteroskedasticity even after GARCH estimation 2017-04-04T19:33:03.817

2 Normal vs leptokurtic distribution for financial returns 2017-06-17T16:35:25.410

2 Distributional forecast for $X_{t+1}$ in GARCH(1,1) with residuals student t distributed 2017-11-05T13:39:59.257

2 Expression for the unconditional variance in the EGARCH model 2017-11-12T01:42:40.750

1 If you perform an ARMA on the volatility and add the squared returns as external variable, do you obtain a GARCH? 2012-08-20T08:43:17.740

1 Criticism, please: simplifying state space model 2012-11-30T22:01:53.293

1 Why do different estimators for stock volatility exist? (Realized Variance, RAV, etc) 2013-01-29T19:32:42.660

1 Volatility model combined with different distributions? 2013-04-05T16:46:17.710

1 Regressing volatility of one variable on volatility of other variable 2013-07-04T06:46:15.690

1 Regression - volatility vs return 2014-04-10T13:42:04.620

1 Forecast accuracy – can we use correlation and $t$-tests? 2014-05-07T19:53:01.917

1 How to compute the out-of-sample log-likelihood function? 2014-11-23T12:07:57.283

1 How to interpret Realized Volatility and TSRV using R 2015-07-16T17:31:32.230

1 Intraday volatility - one value per day or more? 2015-09-03T09:22:51.723

1 HAR-RV(3) Simulation Problem 2015-09-07T14:41:55.197

1 Multivariate volatility forecasting (GARCH) 2015-09-19T11:10:45.543

1 Comparing volatility using GARCH 2015-11-19T19:29:41.760

1 Interpretation of DCC-GARCH output 2016-01-25T16:27:24.470

1 CCC-GARCH using a multivariate t-distribution 2016-02-16T13:45:23.337

1 GARCH or TARCH model when assymetric volatility but GARCH(1,1) already performs well? 2016-03-23T18:37:12.150

1 Volatility of investment (/w currency hedging) 2016-04-30T19:08:38.830

1 Questions concerning GARCH modelling in R (mean equation, forecast evaluation) 2016-07-16T18:07:03.600

1 Interpreting QLIKE and MSE Loss function (Patton 2011) 2016-07-27T11:18:09.700

1 Forecasting with ARIMA and GARCH: does my plan look alright? 2016-08-21T10:06:05.180

1 How to convert daily volatility to monthly? 2016-08-25T15:39:14.403

1 Testing if the volatility of single stocks and/or indices have risen in the past 2016-09-26T18:22:48.183

1 Diebold-Mariano in the context of volatility forecasting: What is the ultimate aim of this test? 2017-04-09T17:11:11.990

1 Empirical Daily Stock Volatility 2017-05-10T09:11:17.120

1 Estimates and forecasts of correlation matrix of CCC GARCH across windows 2017-05-11T23:04:38.497

1 ARMA-GARCH, invertibility, stationarity and insignificance 2017-08-01T15:52:43.923

1 Real using of the "Realized GARCH" for 1 minute forecast 2017-10-14T09:38:21.157

1 Variance of random walk, mean reverting and trending series 2017-10-18T07:48:29.857

1 Measure of volatility for time series data? 2017-10-23T16:52:07.873

1 Volatility modelling with proxy variable using rugarch package in R 2017-10-29T08:14:15.113

1 GARCH volatility modelling with external variables using R packages 2017-10-29T11:47:51.333

1 Rolling one step forecasts for GARCH model using EViews 2017-11-28T17:03:23.703

1 What is the 1-step-ahead forecast from an ARCH(1) model? 2017-12-07T03:30:19.740

1 Reparametrization of the GJR-GARCH(1,1) model (Asymmetric GARCH models) 2018-01-21T17:06:30.570

1 Newcomer question: How does the GARCH recursive formula actually work? 2018-02-14T02:44:05.767

1 Is there a way of knowing how good my volatility estimates are? 2018-02-24T23:13:12.330

0 Forecasting volatility using GARCH 2012-07-05T12:49:55.467

0 Jointly estimation of model or single step estimation? 2013-04-07T09:36:25.840

0 Does GARCH($p$,0) make sense at all? 2014-08-26T14:31:14.180

0 What are approaches to, accuracy and value of forecasting in/for highly volatile environments? 2014-10-11T06:25:02.567

0 DCC GARCH - specifying ARCH and GARCH parameter matrices in Stata 2015-03-21T01:40:53.177

0 Different normality of data in forecasting 2015-10-14T12:41:10.537

0 Best performance evaluation measure for GARCH model? 2015-11-26T08:10:09.260

0 How to model a time series of volatility? 2015-11-28T23:48:41.880

0 Dealing with shape parameter of standardized skew normal distribution in DCC-GARCH 2016-01-04T23:41:43.203

0 DCC GARCH model diagnostics in R 2016-01-26T16:14:55.150

0 Using the normal errors formula, find an iterative equation that predicts the variances of a GARCH(1,1) model 2016-03-16T02:30:07.537

0 Evaluate forecasting ability of GARCH models with RMSE and MAE 2016-04-05T08:14:08.450

0 Interpreting RMSE and MAE values 2016-04-10T10:08:51.897

0 Understanding recurrent SVM in volatility estimation of GARCH model 2016-05-16T14:58:53.117

0 Diebold - Mariano test for volatility forecasts problem 2016-06-23T09:37:59.713

0 Comparing volatility among time series-GARCH Models 2016-07-09T17:04:31.060

0 Idiosyncratic volatility forecast using EGARCH (Fu, 2009) 2016-07-21T22:07:11.607

0 Construction of several Forecast Appraisal Techniques 2016-08-24T08:34:03.483

0 Correct procedure for modelling GARCH for forecasting volatility of stock Index returns 2017-03-16T14:21:49.597

0 Insignificant p-value for Alpha when estimating GJR-GARCH 2017-04-06T12:33:53.290

0 Loss functions with one-step-ahead volatility forecasts & volatility proxy 2017-05-04T12:47:22.783

0 Rolling period volatility forecasts 2017-05-08T11:16:55.827

0 Modeling volatility with GARCH 2017-05-14T15:33:41.683

0 EWMA parameter estimation 2017-05-14T15:38:46.507

0 Which one should I use for rolling forecast, dynamic or static? 2017-06-29T18:02:52.483

0 How to measure the true underlying daily volatility from daily data? 2017-07-12T23:01:04.923

0 Why replace Pearson's correlation with DCC GARCH? (non-technical) 2017-07-17T16:03:09.313

0 How to get volatility of a stock price using Artificial Neural Networks? 2017-09-22T13:31:04.793

0 proxy for h-day-ahead conditional volatility? 2017-11-05T09:17:51.047

0 GARCH(1,1) model with exogenous variable using STATA and EVIEWS 2017-11-20T18:25:36.117

0 Statistic to represent change in variation over time 2017-12-04T16:33:22.927