The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
0answers
12 views

Interpretation and consequences of the Nyblom test in the rugarch package?

I fitted a garch model using rugarch of the r package and I got the following output: ...
1
vote
1answer
37 views

Different results between Box-Ljung test and ARCHLM test?

I fitted a garch model using the rugarch package. The output (extract) is as follows: Now I have trouble interpreting the results of Q-Statistics? First of all to test the mean equation, we look at ...
2
votes
0answers
34 views

Confused about APARCH not a APGARCH?

I am wondering about the apARCH model: As you can see here, it clearly has both terms which a garch model has. The aparch volatilit equation is given by And the standard garch volatility equation is ...
4
votes
1answer
66 views

Is my VaR calculation correct?

I want to use a ARMA-GARCH process to calculate the value at risk. I use the rugarch package of R. First of all, I specify my model: ...
6
votes
1answer
175 views

Forecasting using rugarch package

I want to do one step ahead in-sample forecasts. My data can be found here. This is just a data frame with the date as the rownames. I specify my model and do the fit and show the plots with ...
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: ...
2
votes
0answers
83 views

Error term/Innovation process in ARCH/GARCH processes?

I am wondering about the distribution of the error term/innovation process in a ARCH/GARCH process and its implementation, I am not sure about some points. The basic assumption is ...
2
votes
0answers
48 views

What does negative gamma mean in APGARCH model?

I got a gamma of -0.1321677. ...
7
votes
0answers
127 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 ...
5
votes
1answer
148 views

Improving GARCH modeling approach

Modeling Exchange Rate Using GARCH Let's consider the following exchange rate : USD/JPY For each sequence, we consider changes in the daily difference between the highest price and the open price of ...
5
votes
1answer
243 views

Problems with dealing with GARCH models and intra-day data

Short question would be "Which type of model from GARCH family is most suitable for modeling 5-minute data returns ?" but I've added some story to it. Long time ago I was preparing my thesis, one ...
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?
2
votes
0answers
149 views

Markov-Switching E-GARCH with R

I am looking for a R library for modeling a Markov-Switching E-GARCH process. In other questions at StackExchange related to GARCH models, the package rugarch is often mentionned. Do you recommend it ...
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 ...
2
votes
2answers
181 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 ...
3
votes
1answer
291 views

How do I evaluate the suitability of a GARCH model?

Suppose I downloaded the closing price of a company, say Google or whatever, I want to use GARCH model to model and forecast the volatility of the return. To simplify, I only have two questions. ...
6
votes
1answer
374 views

Conditional or unconditional volatility?

I am reading a paper (reference below) that states "The conditional volatility for each underlying security (or for a market index) can be estimated using the standard deviation of the stock’s ...
4
votes
1answer
316 views

Volatility models using Rugarch

I have estimated sGARCH, EGARCH and TGARCH, which some for particular models are significant. For others, the alpha remain insignificant using various innovations such as the skewed variants of the ...
4
votes
0answers
88 views

Rolling window Kendall's tau against APARCH(1,1) correlation

Assume you want to forecast the correlation matrix of a stocks' basket (say 15 ~ 20 stocks from different sectors); assume you need to forecast at $T$ days because you will use the forecast ouput with ...
3
votes
2answers
242 views

Backtesting VaR model violation independence

I am interested in hearing about the practitioner state of the art for testing the time independence of a VaR model (i.e. that VaR violations are independent in time). There are a number of tests in ...
2
votes
1answer
954 views

How do I model GARCH(1,1) volatility for historical indexes in Matlab?

I'm currently working with historical index data from Yahoo Finance and would like to plot the GARCH(1,1) volatility of these indexes. I'm working with the Datafeed and Finance Tollboxes in Matlab ...
9
votes
1answer
207 views

Is a linear combination of GARCH processes also a GARCH process?

If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
3
votes
2answers
825 views

GJR-GARCH Model In R

Any idea how to estimate GJR-GARCH models in R? Is there any particular library like fGarch that supports such models?
5
votes
4answers
706 views

Stock Price Behavior and GARCH

In my (limited) understanding, the behavior of a stock price can be modeled using Geometric Brownian Motion (GBM). According to the Hull book I'm currently reading, the discrete-time version of this ...
3
votes
1answer
207 views

Does the correlation amongst stocks rise when stock values decline?

Is there any research on whether the correlations among stocks rise when stock indices decline? Which model could account and test for that effect ? Maybe GARCH-BEKK, or some models using copulas?
6
votes
2answers
2k views

How GARCH/ARCH models are useful to check the volatility?

Below a R code wrote by the moderator @richardh (whom I want to thank again) about ARCH/GARCH models. ...
2
votes
2answers
1k views

Garch modelling on Stata

I would like to ask "how to do GARCH modelling on stata". Basically I want to estimate stock market volatility using daily data. I have one variable as return series, $r_t=\ln(\frac{P_t}{P_{t-1}})$. ...