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Sorry if I missed the boat my a couple months. I am actually forecasting volatility using Python's ARCH module myself. I was wondering what your results would be with the model result's forecast attribute. For example, I believe you could have done res.forecast(). Also, there's a attribute called via res.conditional_volatility I am not too certain if ...


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Your question is about the $\overline{Q}$, right? If so, it is the covariance between the error terms $E_{i,t}$ and $E_{j,t}$.(The sub term $i$ comes from asset $i$, and $j$ for asset $j$)



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