1
vote
1answer
128 views

how to compute daily skewness of S&P daily return timeseries under no other more high - frequency time series?

As we all know , return time series marked features: fat tail or negative skewness and peakedness. For a similar problem of variance computation, we can compute variance by garch model and other ...
2
votes
0answers
631 views

How to calculate the conditional variance of a time series?

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 ...
3
votes
1answer
371 views

Linear regression and assets direction prediction

I have the following asset returns Y and the predictions for the same periods Y': Y = { 10, 200, -1000, -1, -7 } Y' = { 1, 2, -3, -4, -5 } The OLR R-squared for ...