I want to find the relationship between volume and price returns in the S&P500. My first thought was to run a cross correlation in order to find who leads and who lags in the relation. It´s my ...
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 ...
I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research. I'm ...