Questions tagged [estimation]
The calculated approximation of a result which is usable even if input data may be incomplete or uncertain.
33
questions with no upvoted or accepted answers
6
votes
0answers
112 views
Estimation of right truncated poisson process
I have following problem:
Imagine I generate large number of homogenous poisson process sample paths (by sample path I mean a sequence of arrival times $\tau_i$ all with the same intensity. However ...
6
votes
0answers
122 views
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
307 views
Estimation of ranks of log-returns via copula
I have successfully chosen and estimate a copula for the ranks of the log-returns of my actions. My question is, since I have worked with the ranks instead of directly the log-returns (in order to be ...
4
votes
0answers
173 views
Model-Free Option Pricing
From Breeden and Litzenberger (1978) and subsequent work, we may find the risk-neutral density $q_{S_T}$ of $S_T$ from European option prices - assuming there are enough traded options (e.g. SPX) via
...
3
votes
0answers
51 views
How to calculate the estimation error of portfolio variance using propagation results?
I am trying to find a conservative approximation for the propagated estimation error of a investment portfolio's variance (comprising two assets), given we know the estimation error for the variance ...
3
votes
0answers
192 views
Derivation of variance of Zhou (1996) volatility estimator
Does anyone know how to derive the Variance of Bin Zhou's volatility estimator (Theorem 1) in 'High-Frequency Data and Volatility in Foreign-Exchange Rates' (1996)
Zhou 1996
Any help would be ...
3
votes
0answers
211 views
Should I use Resampling or Expectation Maximization to compute a robust covariance matrix?
I have several assets, each with different return histories.
Some of the assets have 75 days of return history, others have 40 or so days. In calculating a robust covariance matrix, should I be using ...
2
votes
0answers
44 views
Correcting high AR(1) coefficients in dynamic Gordon model
I have just finished my thesis on a heterogeneous dividend expectations model applied to the COVID-19 crisis. However after receiving some feedback there is one last issue I want to resolve. I'm using ...
2
votes
0answers
59 views
Are intraday volatility estimators useful for close-to-close predictions
I am interested in predicting the PnL of a gamma scalping strategy which trades only once per day. For simplicity, let's say we can always trade at the daily close. So, what I need to predict are the ...
2
votes
0answers
63 views
Beta estimates of Regressions on AR(1) Process
I am currently working through the paper The Myth of Long-Horizon Predictability [1] and I got stuck in reproducing the empirical results in Section 1.4.
It is my understanding that time series of ...
2
votes
1answer
121 views
GARCH(1,1)-M MLE optimization with fmincon in R
I've searched thru dozens of papers and did not find in any of them satisfying and enough theoretical answers to my concerns. So I've combined everything what I found below. Please indicate if my ...
2
votes
0answers
54 views
ARMA-GARCH estimation with EGB2 distribution
I want to estimate a ARMA-GARCH model by using the EGB2 distribution instead of the normal distribution. The model I want to estimate is:
$$y_t = \mu + \phi_1 y_{t-6} + \phi_2 y_{t-8} + \theta_1 \...
2
votes
0answers
488 views
Estimating parameters of the Cox-Ingersoll-Ross model using CLS in R
I'm working on a project where I need to estimate the parameters of the CIR model. In the particular case, the CIR model is used to model cumulated capital calls for a private equity fund.
The data ...
2
votes
0answers
33 views
Understanding pooled VAR model
I encountered a paper by Vuolteenaho (2002) in which he uses pooled VAR model. I have some troubles understanding the idea. He uses firm level variables (log returns, ROE, etc.) and ultimately he ...
2
votes
0answers
852 views
How to fit exogenous + GARCH Model In Python?
I am studying a textbook of statistics / econometrics, using Python for my computational needs. I have encountered GARCH models and my understanding is that this is a commonly used model.
In an ...
1
vote
0answers
44 views
Can you approximate stochastic volatility processes using GARCH processes?
Let me specific. Suppose that you have the following process:
\begin{align}
z_t &= \sigma_t \epsilon_t \\
\sigma_t &= \sigma \exp \left( \frac{v_t}{2} \right)
\end{align}
where $v_t$...
1
vote
0answers
46 views
How is it possible that the measurement uncertainty in Kalman Filter is less than 0?
In Euan Sinclair's Option Trading, Pricing and Volatility Strategies and Techniques, it mentions that the true value of the price can be estimated via Kalman Filter:
$$S_\mathrm{new} = S + k (S_b ā S)...
1
vote
0answers
16 views
fiscal period end date
If a quarterly report is released tomorrow, is there any way to figure out the date the quarterly period ended without manually researching? Such as an API?
I think there is a deadline of 35/60 ...
1
vote
0answers
93 views
Estimating an GARCH(1,1) model? Long hand method
I am really trying to invest some time to estimate a GARCH(1,1) method, I know there is many statistical packages that will do this for me (Eviews, MATLAB, R), but I am trying to do this by hand, so ...
1
vote
0answers
25 views
Sample distribution of cross-sectional statistics of returns
Currently doing an application of VaR on sample of industry portfolios in the US. I have a matrix of $n$ industry portfolios with $m$ time-series observations. I calculate cross-sectionally (for each ...
1
vote
0answers
296 views
How accurate are Black-Scholes estimates of Vega, Volga, Vanna
Wikipedia provides analytical formulas for calculating Greeks. I can get Delta, Gamma, Theta all from Bloomberg. I need Vega, Volga, Vanna for my research. Should I use these analytical formulas for ...
1
vote
0answers
373 views
Fama French- typical time lag
I have daily prices of 400 stocks for the last 10 years. I have to create each month a portfolio of 20 stocks that minimizes variance with 2 approaches:
1) Estimate volatility with a GARCH(1,1) model ...
1
vote
0answers
51 views
How to estimate bond price returns via an index?
Let's say I have a corporate bond, for which I know current yield, modified duration, coupon and maturity. I want to estimate how it would have performed under certain market conditions by looking at ...
1
vote
0answers
239 views
Relationship between in-sample and out-sample periods length
I have two general questions regarding "in-sample fitting vs. out-of-sample backtesting" kind of analyses. Is there any relationship between the length of the data collected for in-sample fitting ($a$)...
1
vote
0answers
2k views
Skewed Generalized Error Distribution's (SGED) pdf
I want to use the SGED distribution of Theodossiou for GARCH estimation, however, I am struggling to understand which is the correct pdf function of the distribution. Let me just say that the ...
1
vote
0answers
62 views
What are the estimation methods for SV models?
I want to know about some methods like Methods-of-Moments, Quasi-Maximum Likelihood method, Baysian methods using Markov Chain Monte Carlo methods.
Is there any reference to have an idea of these ...
1
vote
0answers
108 views
Derivation of a ML estimator
I have the following likelihood function:
I'm given this information about the $\Omega$ matrix ($\boldsymbol{1}$ is a $T \times 1$ vector of ones):
I would like to be able to show that the ...
0
votes
0answers
35 views
Black Scholes model calibration
the only parameter in the Black Scholes model that needs to be estimated is the volatility. Which approach is correct:
Estimation of volatility from daily log returns
Estimating volatility by ...
0
votes
0answers
71 views
realized correlation estimation
I'm trying to implement the Hayashi - Yoshida estimator for correlation (T. Hayashi, N. Yoshida: On covariance estimation of non-synchronously observed diffusion processes, 2005) and there's something ...
0
votes
1answer
116 views
maximum likelihood pdf
I am looking at the topic maximum likelihood, and I cannot understand why we set the pdf of $y_{t}$ equal to 1. It is with regards to a OLS example.
The information i got is this:
Model: $y_{t}=\...
0
votes
0answers
63 views
0
votes
0answers
120 views
Monte Carlo volatily
I was wondering if we could do a forecast on volatility using monte carlo on an underlying asset. For example EUR/USD :
Simulating a lot of possible paths on 1 year
then calculate the volatilty for ...
0
votes
0answers
98 views
Approximating an SDE for Volatility Estimation
Consider the SDE
$$
dT(t) = ds(t) + a(s(t) - T(t))dt + \sigma dW(t)
$$
where $s(t)$ is a deterministic function that turns out to be the long-term mean (this SDE is used to model daily temperature, so ...
