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 ...
I am reading a paper where the term conditional variance is mentioned, but I am not really sure what is meant by this and how this can be calculated: Fig. 2 shows the conditional variances of the ...
If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
Below a R code wrote by the moderator @richardh (whom I want to thank again) about ARCH/GARCH models. ...