An open source programming language and software environment for statistical computing and graphics.

learn more… | top users | synonyms

0
votes
0answers
50 views

Forecasting conditional mean in ARMA-GARCH model (R/Matlab)

I am trying to forecast the conditional mean from a ARMA(1,0)-GARCH(1,1) model. The mean equation in my model is: $x_t = \mu + \delta x_{t-1} + h_t \epsilon_t$ where x is the variable (a return ...
0
votes
0answers
16 views

Download DGS3MO from FRED with getSymbols - error

I follow the course "Mathematical topics in finance" from MIT courseware. I opened R and rendered Dr. Kempthorne's Case Study 3: Time Series from September 30, 2013 I am able to render the code and ...
0
votes
0answers
30 views

Solving inequality constraint

I am trying to solve the following inequality constraint: Given time-series data for N stocks, I am trying to construct a portfolio weight vector to minimize the variance of the returns. the ...
0
votes
2answers
101 views

Stochastic process theory question

*S follows a process $dS= mSdt + oSdz$ where m and o are constant. What is the probability followed by $ Y=(Se)^{(r-t)} $. If S follows a process $ dS= k (b-S) dt + oSdz $ where k, b, o are ...
0
votes
0answers
31 views

CCC-Garch predict

So I'm trying to measure the VaR of 2 stock with a multivariate GARCH model, so im using the CCC model. I need to predict the standard-diviation and the mean but the ...
0
votes
0answers
25 views

Luis Torgo - Case Study, Function creates high leverage

I am doing Luis Torgo Case study - Predicting Stock Market Returns and I have a problem when I use the function trading.simulator in the package DMwR ...