Timeline for GARCH model is better for index than stock
Current License: CC BY-SA 3.0
7 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| S May 16, 2016 at 13:05 | history | suggested | markowitz | CC BY-SA 3.0 |
as liquidity
|
| May 16, 2016 at 11:21 | review | Suggested edits | |||
| S May 16, 2016 at 13:05 | |||||
| May 16, 2016 at 1:58 | history | edited | onlyvix.blogspot.com | CC BY-SA 3.0 |
fixed grammar, re-wrote some phrases and changed few words for clarity
|
| May 15, 2016 at 14:05 | comment | added | jacob | @markovitz please elaborate on your liquidity idea. | |
| May 15, 2016 at 14:05 | comment | added | jacob | You say "...but the underlying GARCH(1,1) model..." and of course this is correct since $VaR = \hat \mu_t + quantile \cdot \sigma_t$ the the volatility is changing much more than mu or the quantile. | |
| May 15, 2016 at 10:03 | review | First posts | |||
| May 15, 2016 at 15:08 | |||||
| May 15, 2016 at 10:02 | history | answered | markowitz | CC BY-SA 3.0 |