# All Questions

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### How to fix ARMA coefficients in fGarch package?

I want to fix certain coefficients in the ARMA equation of the garchFit command of the fGarch package in R? E.g. consider: ...
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### VaR for portfolio of funds

Let's assume we need to calculate a 1-day VaR for a portfolio of funds. Funds are traded, they can be bought and sold every day. We know exactly what the assets in each fund are. What is the right way ...
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### Sign Bias test output interpretation of rugarch?

I fitted an ARMA-GARCH process to my data and looked at the output: ...
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### Replicating strategy in the Black-Scholes model

I have a two-asset Black-Scholes model for a financial market: $dB_t=B_t r dt$ $dS_t=S_t(\mu dt+\sigma dW_t)$ I introduce a European claim $\xi=max(K,S_T)$ with maturity $T$, for some fixed $K$. I ...
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### Interpretation and consequences of the Nyblom test in the rugarch package?

I fitted a garch model using rugarch of the r package and I got the following output: ...
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### Optimal mortgage rate strategy

When buying a mortgage, you can choose to "lock in" a rate at any point within 60 days of your closing date. Once locked in, you can't revert. This makes it a secretary problem - in the traditional ...
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### Is there any reasonable way to short-sell Bitcoin [migrated]

It is not an official currency (yet?) but definitely has a market, and as such, I might be intrested in short-selling some. Are there any reliable, way to bet against it?