Richard
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 6h comment How to fit a SARIMA + GARCH in R? Yes, that's one way to go: first fit an Arima model and then fit a GARCH model to the errors. The prediction of the Arima model will not depend on the GARCH error - confidence intervals however will. 2d comment Empirical distribution function of overlapping time series data Sorry ... personal communication only. Apr24 revised Empirical distribution function of overlapping time series data added 176 characters in body Apr23 comment I want to solve follow queston Please would you correct typos and reformulate this question - most probably textbook/lecutre based. Apr23 comment computation involving independent increments Where on math.stackexchange can we find the answer? The question as posted here must be wrong as in the first line you have an ordinary expectation (thus a real number) on the lhs and a random variable on the rhs. Apr22 answered Value-at-Risk of the sum of three independent lognormal random variables with different confidence level Apr22 comment Correct Mupad for this equation? Quite unclear what you ask ... what is the data? What is the formula? Maybe stackoverflow is better place if it a programming question Apr22 comment Value-at-Risk of the sum of three independent lognormal random variables with different confidence level The quantile is different (everything else would be a miracle) but the confidence level is the same, right? Apr21 answered Complete Multiperiod Binomial model Apr20 comment Questions on Brownian Motion Your second line is not meaningful. And $P(W_3>W_1) = P(W_3-W_1>0)$ simply because the events are the same. If $X>Y$ then $X-Y>0$ and the converse too ... What is the $Z$ in point $3$? Come one ... Apr20 answered Replication of the portfolio in single step binomial model Apr20 comment Replication of the portfolio in single step binomial model Do I understand correctly: there is one stock and one time step? You have $k$ price levels. How many are these? 2 ? Apr20 asked Empirical distribution function of overlapping time series data Apr20 comment How do you organize this Roman occasions? I'm voting to close this question as off-topic because it is SPAM! Apr16 comment Calculating Asset Returns You don't have to explain to me. What I mean is that you question up there is unclear. The chances that someone will take the time to answer it are higher if you formulate it clearly. At the moment it is not clear what you are asking. Apr15 comment Calculating Asset Returns What do you actually ask? How can daily returns be the same if the futures trade on A for 8 hours and on B for 16 ours? You can not annualized returns by the square-root - this holds for volatilities under some assumptions. What is the actual question? Can you make this more clear? Apr15 revised Observed market price for the August-Greece-paid bonds were the NPV of the bond or of an option? added 18 characters in body; edited title Apr9 answered Correlated Random Number Generation using Sobol? Apr8 comment Why is rate of return on the stock normally distributed under GBM? It is absolutely usual to call it log-return as far as I know ... it was simply necessary to say what $r_t$ could mean ... please formulate your question clearly in the future. Apr8 revised Why is rate of return on the stock normally distributed under GBM? added 151 characters in body