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8
votes
0answers
80 views
rugarch: Joint estimation leads to different results
I want to fit an ARMA-GARCH model to my data using rugarch package in R.
First of all, I look at the acf and pacf:
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7
votes
2answers
544 views
Why do we use GARCH(1,1) to predict volatility?
What makes GARCH(1,1) so prevalent in modeling especially in academia? What does this model has that is significantly better than the others?
7
votes
3answers
647 views
DSP: stationary non-periodic signal: what's the best causal technique?
This is a bit DSP-related: so if you turn your non-stationary time series into a stationary process, you'll probably see that it is not periodic.. This is an issue for Fourier-based techniques because ...
4
votes
1answer
1k views
Mean reverting strategies
I would like to take advantage of a volatile market by selling highs and buying lows. As we all know the RSI indicator is very bad and I want to create a superior strategy for this purpose.
I have ...
1
vote
0answers
157 views
R ARMA-GARCH rugarch package doesn't always converge
I'm trying to compute the standard ARMA(1,1)-GARCH(1,1) as shown in this answer for an entire index,just to store in a database to quickly lookup values for back ...
