Tagged Questions
8
votes
0answers
96 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:
...
6
votes
0answers
131 views
How to estimate the following model?
Suppose I have the following model:
$$r_t=\sigma_t * \epsilon_t$$
where $r_t$ is the return at time t, $\sigma_t$ is the volatility, the model used to model this volatility is an exponentially ...
2
votes
2answers
199 views
Should I use GARCH volatility or standard deviation in cross-sectional regression?
I want to do a cross-sectional study where the historical, medium-long run volatility of some return series (call it $R_t$) is included as a regressor. Which of the following two estimates of ...
