Questions tagged [arma]

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What kind of errors arise when I fit ARMA(1,1) to data generated from ARMA(1,1)-GARCH(1,1) process?

As far as I know estimates of parameters of ARMA(1,1) are asymptotically optimal when fitted to data from ARMA(1,1)-GARCH(1,1) process, and only their variance increase, so when we assume large ...
5
votes
0answers
940 views

Fitting Student t-distributions to log-returns

It seems that some tail-risk centric groups are bent on using Paretian and t-distributions to account for tail risk when fitting log-returns. It has been observed, however, that with and without ...
2
votes
0answers
241 views

VARMA GARCH modelling in R

I want to simulate a VARMA-GARCH process in R. Unfortunately, I found no package to help me with that. I tried modelling the MGARCH part on itw own and combine it with the VARMA simulation using MTS ...
2
votes
0answers
871 views

Forecast of ARMA-GARCH model in R

I managed to forecast a GARCH model yesterday and run a Monte Carlo simulation on R. Nevertheless, I can't do the same with an ARMA-GARCH. I tested 4 different method but without achieving an ARMA-...
1
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0answers
63 views

What kind of ARMA-GARCH model is that?

My question is what kind of ARMA-GARCH model is the following equation and how to specify it in rugarch R module: $$r_{t+1}- r_t = \alpha_0 + \alpha_1r_t+\...
1
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0answers
126 views

Estimating time-varying tail dependence for Archimedean copulas

Patton (2006) defines the upper tail dependence coefficient for a time-varying bivariate SJC copula as $$\tau^u_t=\Lambda \left(\omega_u + \beta_u \tau^u_{t-1}+\alpha_u \frac{1}{10}\sum^{10}_{i=1}|u_{...
1
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60 views

Distribution of AR and MA polynoms roots in ARMA/ARMA-GARCH models

I have another noob question. So, for example, I have ARMA(2,2) model: $$ x_{t} = \phi_{1}x_{t-1} + \phi_{2}x_{t-2} + e_{t} + \theta_{1} e_{t-1} + \theta_{2} e_{t-2}$$. So, I have 2 polynoms: $$1 - \...