# Tagged Questions

The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.

44 views

107 views

### Degrees of freedom in calculating significance of GARCH coefficients

I am trying to determine the significance of coefficients of a GARCH model by calculate the p-values using the following Matlab formula: pvalues = 2*(1-tcdf(abs(t),n-v)), where $t$ is the t-stat,...
66 views

### How to fit exogenous + GARCH Model In Python?

I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model. In an ...
90 views

### Forecasting conditional variance using fGARCH

I am forecasting the conditional standard deviation using ARMA(1,0)-GJRGARCH(1,1) in R using the fGarch package. Here is a sample code: ...
101 views

### GJR-GARCH with $\alpha = 0$ as parameter estimate

I am estimating a GJR-GARCH(1,1) model with variance targeting in R. As data I am using returns on some stock indices. While calculating the GARCH models I obtain $\alpha=0$ for some indices. From ...
140 views

### Skewed Generalized Error Distribution's (SGED) pdf

I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
101 views

### How to estimate today's closing price?

I'm working on interday trading algorithm and I have a basic question: How can I estimate today's closing price? I need it to predict tomorrow closing price. Should I use the price few moments before ...
195 views

### Forecasting conditional mean in ARMA-GARCH model (R/Matlab)

I am trying to forecast the conditional mean from a ARMA(1,0)-GARCH(1,1) model. The mean equation in my model is: $x_t = \mu + \delta x_{t-1} + h_t \epsilon_t$ where x is the variable (a return ...
90 views

### Skewed Generalized Error Distribution in GARCH modelling

I am trying to estimate GARCH models with the use of Theodossiou's (2000) Skewed Generalized Error Distribution. I am modifying matlab's ARMAX-GARCH-K toolbox to calculate this model. I am calculating ...
128 views

### Log-likelihood of skew-t distribution

I am trying to estimate GARCH models with the use of Hansen's (1994) skew-t distribution. I am using matlab's ARMAX-GARCH-K toolbox, where the log-likelihood is calculated as: ...
39 views

### Imposing MLE restrictions by logistic mapping

I am doing some Maximum Likelihood Estimation with a density that has time-varying parameters. I am using the fmincon function in Matlab, but I do not know how to ...
167 views

### Estimating Parameters - Vasicek

The Vasicek model for the short rate $r_t$ is given by the SDE $$dr_t = \alpha(\beta - r_t)dt + \sigma dW_t,$$ where $W_t$ is a Brownian motion under the physical measure. I'd like to compute bond ...
220 views

### What is the preferred GARCH method in practice?

My advance apologies, if this question is too naive or basic. Please be patient with my first experiences with SE; ask for clarification, if needed. I recognize there are many (often-criticized) ...
152 views

### How to estimate probable seeling pricegiven OHLC data for backtesting?

I'm relative new to this, so I might be asking something that doesn't make sense. Here is my scenario: I have intraday day at 1 minute intervals. This data has ohlc data and I want to compute for any ...
38 views

### How to calculate the estimation error of portfolio variance using propagation results?

I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
98 views

### How are Quandl monthly S&P500 earnings estimates derived?

Can someone explain how the monthly earnings estimates are derived for S&P500? Quandl sources multpl.com, who state: ...
130 views

### Maximum Likelihood Estimation Heston Model using Matlab

My question is based on the MLE of the Heston model discussed in this paper URL: http://www.princeton.edu/~yacine/stochvol.pdf with Matlab code: http://www.princeton.edu/~yacine/closedformmle.htm ...
333 views

### 2-step estimation of DCC GARCH model in Python

Embedded in this thread are multiple questions. I'm currently im the process of implementing a DCC GARCH forecast model on quantopian (a python-powered trading platform). The two step consists of ...
109 views

### Estimating correlation using EWMA

I am using an EWMA model to evaluate the correlation between yearly time series. I know Riskmetrics uses $\lambda=0.94$ for daily data and $\lambda=0.97$ for monthly data. Is there a value ...