# Tagged Questions

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

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### 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 ...
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### 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 ...
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### How to forecast bond price with time series

I have the goal of being able to develop a model that can forecast the future prices of european government bond (or other private bonds), particularly from the historical prices and returns of the ...
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### Modeling Financial Time Series

Price time series are not stationary. So we difference them and get the return time series, which are stationary. Does this mean, it is always a good idea to model only the return series of financial ...
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### Selecting timeframe for time series analysis

In technical analysis, we may use confluence of direction for 3 timeframes to roughly gauge bias of market now. Similarly, if we use time series forecasting methods to predict(say daily data-whether S&...
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### 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 ...
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### 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 ...
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### Transforming daily simple returns into weekly

I am trying to transform daily simple returns into weekly returns. I am using the following R code: ...
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### 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). ...
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### 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:...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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?)
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### Augmented Dickey-Fuller Questions

I've been searching in bibliography about this test applied to an AR(p) model. $$Q(L)(Y_{t})=c+\epsilon_{t}$$ Where L represent the Lag Operator and $Q=1-\phi_{1}x-.....-\phi_{p}x^{p}$ is the ...
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### adding dummy variable to ts object in r for particular quarter

I've looked all over and can't seem to get a clear idea of how to do this; I have ts data with quarterly frequencies. I simply want to add a dummy variable only for the data corresponding to Q4 but I ...
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### In what situations would cross validations scores be inaccurate?

I'm trying to fit a SVM model on times series stock return data, predicting a buy, hold, or sell signal of the stock. I'm using 10-fold cross validation (using the R package ...
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### Including intercept and trend in ADF of differenced series

When specifying that the trend and/or intercept be included in the ADF output, does the trend/intercept election follow through to the ADF tests of differenced data as well? To clarify further, I ...
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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 ...
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### Measuring strength of correlation for bivariate time series

In case of a bi-variate time series with both I(0) how do I measure the strength of co-relation. I am looking for measure similar to R-squared but ideal measure may not be one of the variants of r-...
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### 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 ...
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### Calculating the volatility for Black Scholes

The following problem is from the book by Hull. I did it but I am not sure it is right. I am hoping that somebody here can tell me if I did it right and if not where I went wrong. Thanks Bob Problem:...
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### Regressing NYSE returns: Lagged intercept term & efficient market hypothesis

By performing the following OLS time series regression, $y_t$ = $\beta_0$ + $\beta_1$*$y_{t-1}$ + $\beta_0$*$y_{t-1}^2$ + $\epsilon$ I cannot reject the null hypothesis that b1=b2=0. However, ...
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### 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 starts/...
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### Modelling interest rate: AR(2) modelling

I have a time series of spread that follows an $AR(2)$ (Autoregressive model of Order 2). I need an interest rate model that represents that dynamics. What model should I use?
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### Inferring Returns From Minimal Data Points [duplicate]

Possible Duplicate: How much data is needed to validate a short-horizon trading strategy? Suppose I have daily returns for a trading strategy against one month of data. Before starting trading ...
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### Calculate the total returns from the total return index [closed]

I have the Total Return Index(RI) for several companies. I know that I can calculate the log retunrs with $ln(RI_t/RI_{t-1})$. Therefore my first guess would be to ...
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### Converting time series returns into euro

I am trying to convert various series of returns into one currency (euro). I saw from aprevious post that soemone suggested using conversion factors, where would I find these? Also, given that the ...