A temporal sequence of events measured at discrete points in time.

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4
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0answers
35 views

Block bootstrap to synthesize asset prices

I have a few basic questions on block bootstrapping on a financial time series ('TS'). Assuming my trade universe consists of 10 stocks, I would like to create a set of synthetic prices for all 10 ...
1
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0answers
32 views

Problems in computing VaR with GARCH-GPD-copula approach

I use a time-varying Gaussian copula (with GARCH-filtered standardized residuals modeled semiparametrically with Gaussian kernel interior and GPD tails, i.e. generalized pareto distributed) to ...
3
votes
0answers
41 views

False warning messages in R, is it possible?

I'm modeling GARCH-filtered standardized residuals via semiparametric distribution with Gaussian kernel and GPD (generalized pareto distribution) tails with thresholds at 5% and 95%. For some series I'...
1
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0answers
10 views

How to get daily OHLC (fints) from minutes OHLC (fints) in MatLab?

I have a minutes OHLC time series stored in fints object, how can I get a new fints object which contains daily OHLC? What is the easiest way to do it?
3
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0answers
50 views

'GARCH - extreme value theory - copula' approach to estimate risk measures in R

I'm reading about this approach of using GARCH-EVT-copula methodology to separate univariate and joint estimation and then estimate for example VaR and ES. I wanted to try something similar, but my ...
1
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0answers
33 views

Account for empirical relationship between signal and market data

I have two monthly time series : one is a 'signal', on which I will base my decision to buy or short-sell, and the second one is the time serie of a given asset's price. I have implemented this ...
1
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2answers
39 views

cumulative return calculation, disagreement

A friend of mine and myself are having an argument on how to correctly determine cumulative return. The dataset has monthly return data and we are trying to determine the 6-month cumulative return. ...
6
votes
1answer
117 views

Why is the GARCH intercept supposed to be strictly positive?

Maybe it's a simple question but I don't really understand why it is theoretically required. Let's take the standard GARCH(1,1) $$\sigma^2_{t+1}=\omega+\alpha\epsilon^2_{t}+\beta\sigma^2_{t}$$ In most ...
1
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0answers
30 views

Estimating time-varying tail dependence for Archimedean copulas

Patton (2006) defines the upper tail dependence coefficient for a time-varying bivariate SJC copula as $$\tau^u_t=\Lambda \left(\omega_u + \beta_u \tau^u_{t-1}+\alpha_u \frac{1}{10}\sum^{10}_{i=1}|u_{...
2
votes
1answer
36 views

Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
1
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0answers
64 views

Cointegration for forex using ARMA model to forecast the spread

I am working on an automatized quantitative strategy that use cointegration in Forex. I am backtesting this strategy in Python. Please see below the python file: https://drive.google.com/file/d/...
1
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0answers
45 views

How to write time-varying functions in R? Applied example

Let's say I want to use a Gaussian copula $$C_{R_t}(\eta_1, ..., \eta_n) = N_{R_t}(N^{-1}(\eta_1), ...,N^{-1}(\eta_n))$$ with a time-varying correlation matrix $R_t$. Through DCC we model the ...
3
votes
1answer
125 views

How to obtain Standardized Residuals from a Time-Series?

I have my estimates for an AR(3). To obtain the residuals I'm supposed to use $$Y_t-\hat\phi_0-\hat\phi_1Y_{t-1}-\hat\phi_2Y_{t-2}-\hat\phi_3Y_{t-3},$$ where the Y's are from the dataset. If I do ...
0
votes
1answer
58 views

how to derive critical values for augmented Dickey–Fuller test (ADF) using Monte Carlo method?

Can anybody explain in simple terms how the critical value of the ADF test can be derived using Monte Carlo simulation?
1
vote
1answer
93 views

Does the unconditional variance implied by a GARCH equal the sample variance?

In the MATLAB default settings for GARCH estimation they say "presample conditional variance is the sample average of the squared disturbances of the offset-adjusted response data y". Am I right in ...
0
votes
2answers
112 views

GARCH model is better for index than stock

We have used a standard GARCH(1,1) model with t distributed innovations for daily data of S&P index and JPM stock. Question: is there any financial or statistical reason why the GARCH model ...
0
votes
1answer
32 views

Open source code based on quandl for security analysis and options priming

Quandl seems to be an excellent source of wide range of free/open financial data. But is there an open source code or platform that uses the quandl datasets to perform security analysis and option ...
0
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0answers
25 views

How to impose restriction on cointegrating vector in R, reproducible example

The code given below estimates a VEC model with 2 cointegrating vectors. It is a reproducible code, so just copy and paste into your R console (or script editor). ...
-1
votes
1answer
46 views

Determining confidence level of directional signals

With regards to technical analysis, are there ways of determining the confidence level of a directional signal? Taking a relative strength index (RSI) as an example, can the extent to which an asset ...
1
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0answers
66 views

How to choose a GARCH model which delivers iid standardized residuals?

For my thesis I first need to examine nine financial time series and fit a conditional volatility model such that the obtained standardized residuals ($z_t = \epsilon_t / \sigma_t$) are approximately ...
2
votes
0answers
48 views

serial correlation, Fama MacBeth (1973) procedure incorporating momentum

I have a question regarding the use of the Fama-MacBeth (1973) procedure on panel data. I am investigating the cross sectional determinants of expected REIT return following the procedure from: Chui, ...
2
votes
2answers
89 views

Fitting Copula and Simulation

I would greatly appreciate any insights into the problem described below, regarding using the data obtained from applying the functions of the 'rugarch' package into those from the 'copula' package. ...
6
votes
5answers
528 views

Thoughts on how quantitative hedge funds use machine learning to invest in the stock market (algorithms, examples of data, etc.)

I believe there are several post on this general topic but I thought I would start my own thread. I'm a former fundamental hedge fund investor (i.e. modeling a company's financials, forecasting the ...
2
votes
2answers
56 views

Automate selection of BIC-minimizing ARIMA(1,0,X) model

I want to estimate an ARIMA(1,0,X) model. The MA(X) in the model is selected to minimize BIC. I have the following code employing the function auto.arima from "...
1
vote
0answers
28 views

Marginal Distribution using GARCH model

I have n return series. I fitted AR(1)-GARCH(1,1) to each return series. Then used PIT(residuals) to transform the residuals to uniform. Then I fitted n dim copula to the data. I simulated 1000 points ...
1
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0answers
41 views

Distribution of AR and MA polynoms roots in ARMA/ARMA-GARCH models

I have another noob question. So, for example, I have ARMA(2,2) model: $$ x_{t} = \phi_{1}x_{t-1} + \phi_{2}x_{t-2} + e_{t} + \theta_{1} e_{t-1} + \theta_{2} e_{t-2}$$. So, I have 2 polynoms: $$1 - \...
0
votes
1answer
45 views

How to create time series with lagged in R [closed]

Would anyone else advise me, how to create time series with lagged in R. I would the result is the difference with lagged, there is a function Delt() but the result is the percentage change. Please ...
1
vote
1answer
57 views

What causes discontinuities with stock prices

With reference to the figure above, why is it that the price at which the stock closed at on monday not equal to the open price on tuesday? Is this discontinuity due to an adjustment in the price to ...
2
votes
1answer
75 views

distribution of AR, MA coefficients estimation in ARMA-GARCH models

could anyone give me an information about distributions of AR and MA coefficients via estimation? So, for example, I have ARMA(1,1)-GARCH(1,1) model with the same AR(1) and MA(1) parameters ...
2
votes
0answers
61 views

Johansen cointegration test interpretation in R

I want to test my time series for cointegration using the Johansen test in R. I got the following result and so I know now that at least 5 out of 9 of my time series are cointegrated. My question is, ...
3
votes
2answers
121 views

How to deal with negative ARCH terms?

Lately I have been trying to fit a GJR-GARCH(1,1) model to fit against the S&P 500 returns over 1985-2015 but I have ran into some problems I can't quite figure out. The GJR-GARCH(1,1) model I am ...
3
votes
2answers
83 views

ARMA-GARCH model, bset model selection and confidence levels calculations

I'm a newbie in GARCH models. I tried to realize ARMA(p, q)-GARCH(u, v) model via fGarch. So, 2 main questions. 1) Can I use BIC/AIC for selection best model for all (p, q)-(u, v) models? So, is it ...
0
votes
0answers
46 views

LSTM w/dropout Peer-reviewed or other authoritative lit for time-series/financial econometrics/Teh stock price/volatility/etc

So, I've been looking on Google Scholar for stuff using Long Short-Term Memory neural nets for time series. I was inspired by the interview with this 2nd place finisher in a recent Kaggle major: http:...
3
votes
1answer
76 views

Dickey Fuller test of stationarity differenced data

In this case study on treasury yeilds from MIT, I have a question on page 11-12. He uses this data getYahooData("^TNX", start=20000101, end=20130531) His logic on page 11 is this "only daily ...
1
vote
1answer
65 views

Error when trying to estimate a Markov-switching Var model in R

I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...
0
votes
0answers
52 views

VECM model with GARCH (1,1) error in R

I should create a VECM model with 8 lags and with Garch (1,1) error in R but i don't know how to do it and which package to use. The VECM should also have covariates in it. Then I should perform a ...
1
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0answers
37 views

Problem with overlapping data when testing futures market efficiency

In my case non-overlapping data would represent the scenario where futures prices (3 months) do not correspond to the futures spot prices in terms of delivery date. For example, futures settlement ...
1
vote
1answer
64 views

Strategies to merge bid, offer and trade price time series into a single price time series?

I'm doing intraday analysis on low volume stocks. There are just a few trades every day, but a whole host of bids and offers. In order to reduce the sparsity of the time series data I'd like to ...
2
votes
0answers
63 views

VAR models for log-returns?

I am wondering if Vector Autoregression (and other autoregressive models) is a sound modelling for the daily (not high-frequency!) log-returns of time series from liquid financial markets. One can ...
0
votes
0answers
22 views

Guidance on machine learning approach to improve interpolation [duplicate]

I am thinking about doing a project on improving the accuracy of some stock signals. The signals are fundamentally derived scores on a per stock basis. They are updated on a weekly or monthly ...
4
votes
2answers
133 views

ruGarch - Interpret test results

I'm working on a R project, trying to calibrate a GARCH (so far, (1,1) ) model to the yields of the STOXX50 index over the last 2 years. I've tried the garch function of the tseries package, but it ...
0
votes
0answers
59 views

VAR(1) - GARCH(1,1) model estimation in R

Can someone please help in explaining the steps involved to estimate the parameters of VAR(1)-GARCH(1,1) model of Mcaleer 2003 in r. It is a multivariate GARCH model where the mean equation is ...
0
votes
0answers
38 views

White's reality check p-value

I am running a hypothesis test based on White's reality check p-value. I am getting a weird result for my univariate time series of returns. In essence, I am following a code on MATlab to run the test ...
1
vote
0answers
34 views

Are there alternatives to the Box-Tiao decomposition in identifying mean reverting portfolios?

As documented in this paper, Box-Tiao decomposition (a way to decompose multiple time series into components with different speeds of mean reversion) can be used to identify mean reverting portfolios. ...
2
votes
1answer
108 views

VEC GARCH (1,1) for 4 time series

I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ...
0
votes
0answers
26 views

Eurostoxx50 data in USD

does anyone know how I can import from yahoo the Eurostoxx50 data denominated in USD (not Euros as listed on yahoo?)
1
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0answers
54 views

Estimating Daily Dynamics using Hourly Data

This article gives a nice outline of how daily data can be used to estimate cointegration on a monthly horizon. http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1404905 I'd like to use the same ...
0
votes
1answer
85 views

Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
1
vote
1answer
89 views

Memory-efficient clustering algorithm for large time-series datasets

I have a simulation task at hand with ~1e6 time series to be clustered on the basis of statistical measures every few days in the simulation. Most clustering methods I'm aware of require an affinity ...
1
vote
1answer
58 views

Is there any package in R for conditional autoregressive range model (CARR)?

I am working on a project which requires volatility estimation using range based volatility. Is there any package in R which helps me in estimating the CARR model proposed by Chou (2005).