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Questions tagged [forecast]

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Measure how different forecasted volatility is from realized volatility

Hi Quantitative Finance Stack Exchange, I'm looking for an opinion on a simple question. Suppose I use a Garch(1,1) model to make a volatility forecast. At time $t$, I have realized volatility $\...
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0answers
274 views

Optimal Position Size with Transaction Costs given Forecast Mean and StDev

I have rather a challenging question. I'm hoping that someone can share their experience. I will build up the problem in steps. Let's start our thinking with the idea of a buy and hold strategy of ...
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0answers
121 views

Combining Mulitple Forecasts? Budged Constraints?

I'm hoping that someone can lend a hand. I have been reading various papers on how to combine multiple forecast time series. The main paper is Granger and Bates 1969. The suggestion here is that there ...
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363 views

Forecasting volatility with rugarch and Covariance Matrix

I am trying to do a financial time series forecast in order to build a portfolio. I already have some code running rugarch library and I am not sure if I am forecasting correctly, after that I would ...
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0answers
81 views

Transformation of GARCH Equation to multiple-day Forecast Equation

I want to understand the procedure of how to predict with the GARCH Modell. Therefore it is said that a one day ahead forecast is easy due to the fact that the GARCH equation can produce this. ...
-1
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1answer
38 views

How to interpret the accuracy result of the forecaste?

I'm trying to forecast the vacancy rate of multifamily rental property. I have the data from 1992 until today. I'm trying to fit a model with the serie without the last 2 observations. I only need ...