The garch tag has no wiki summary.
7
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1answer
194 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
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9
votes
0answers
83 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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2
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0answers
85 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
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2
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0answers
49 views
7
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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
150 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
245 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
550 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
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0answers
151 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
187 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
294 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.
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6
votes
1answer
376 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
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1answer
317 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
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0answers
89 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
244 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
967 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
833 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
711 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
208 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.
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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, $r_t=\ln(\frac{P_t}{P_{t-1}})$.
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