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3answers
750 views

How to trade volatility?

I am analyzing the volatility of financial stock returns and let's say I have a pretty good model to forecast tomorrows volatility of the stock returns. So let's say for simplicity reasons I have a ...
1
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0answers
25 views

Log returns and GARCH models

I try to model currency rates volatility using GARCH models through the RUGARCH package in R. Starting from the observed currency rate series, I compute the log-return through: ...
1
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0answers
52 views

volume augmented garch(1,1) model in matlab

Actually I want to add volume traded of a stock in my Garch(1,1) model to forecast the volatility.In Matlab I can specify the model as garch(1,1) and then use estimate and forecast commands.But I am ...
1
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0answers
50 views

rugarch and rolling estimation

I use Rugarch for a long time in order to calibrate GARCH models on FX rates time series and perform simulations. I am trying to understand the ugarchroll method. However even if I can find plenty of ...
1
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0answers
326 views

GJR-GARCH modeling in stata

I am wanting to run a GJR-Garch model in stata and I am having problems identifying what command I need to put into the system. When using the commands I receive two different ways to do so and I am ...
0
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2answers
362 views

garchOxFit in R

Could someone please help me with trying to get the Ox interface to work in R. I followed the steps outlined in this paper (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1752095), but I get the ...
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2answers
81 views

what volatility do we calculate using GARCH model

what volatility do we calculate using GARCH model, Historical vol or Implied vol or Future Vol or Actual vol.
0
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2answers
548 views

Optimal lag length selection criterion in GARCH(p,q) model using MATLAB

As assessed by the title, I'm trying to estimate a GARCH(p,q) model to forecast stock market volatility and, in order to be able to do that, I've to identify the optimal number of lags, p and q, to ...
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0answers
7 views

GARCH models on stata [on hold]

How do I impose non negativity conditions of GARCH models on Stata? when I fit a type of GARCH models in stata, some of coefficients became negative. what should i do about this? another is that the ...
0
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0answers
39 views

GARCH parameters

I'm trying to estimate parameters of GARCH(p,q) model. I tried p=1, q=1 with t-distribution errors. Ljung-Box showed no correlation in residuals and squared residual. But the null hypothesis that ...
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0answers
25 views

Dummy variable and negative estimation in GARCH (1.1)

I am trying to use GARCH model for my research. However, when I am running them, I see negative value for alpha and beta. How I can restrict them so that they do not provide me any negative value. Is ...
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0answers
17 views

garchOxFit in R-oxo file does not match

Could someone please help me with trying to get the Ox interface to work in R. I get the following errors as output: This version may be used for academic research and teaching only Link error: ...
0
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0answers
59 views

Volatility clustering but (G)ARCH not good fit

I'm looking at a time series that appears to be white noise. The ACF/PACF are in the test bounds. Applying the Ljung-Box test for various (maximum) lags gives me high p-values (i. e. I cannot reject ...
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0answers
145 views

Monte Carlo American Option Pricing under GARCH(1,1) volatitliy

I am attempting to price a couple of at-the-money American option using the LSM algorithm and GARCH(1,1) volatility. The LSM code I have works correctly for constant volatility, however, when I switch ...
0
votes
1answer
82 views

Can we model components in a set of multivariate multi-period time-series data?

There are N data sets in periods occurring weekly/monthly, across a 10-year historical timeline. In each period, five dates are observed (labelled a to e), where a denotes the day the period ...
-1
votes
0answers
14 views

garchFit formula problems in R

I am working on a Financial Time Series project in R. I am using GMVP.R which has this line: m1=garchFit(~1+garch(1,2),data=rtn[1:t,i],trace=F) I am trying to understand what the 1 before ...