# Questions tagged [garch]

Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model is used for time series in which the conditional variance is time-varying and autocorrelated. The conditional variance is a linear combination of lagged conditional variances and lagged squared errors. The conditional variance equation in GARCH models is deterministic, in contrast to Stochastic Volatility (SV) models.

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### Continuation of GARCH(1,1) without data

Please be easy on me since quant finance is not my strength. I have the following Python code that models volatility under GARCH(1,1) for the S&P500: ...
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### How can I apply the GARCH-MIDAS model to the FTSE MIB using the CPU as an explanatory variable?

I am trying to understand how climate risk impacts the financial market and I am calculating VaR and ES. I am applying the GARCH-MIDAS model to the FTSE MIB, using the Climate Policy Uncertainty Index ...
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### Is there any way to implement GARCH-MIDAS model in R for multivariate estimation?

I'm writing a research paper in economics, and would like to research the impact of both financial and macroeconomic variables on the NIFTY50 index. My plan was to use a GARCH model. I've stumbled ...
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### GARCH model within a system of simultaneous equations

This is a system of simultaneous equations. The first equations is a GARCH(1,1) model with a exogenous variable. The dependent variable (x) from the fourth equation is exogenous independent variable ...
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### Fitting a Copula with GARCH volatility to stock returns

I have the log-returns $r_{n,t}$ for 3 stocks, $n=1,2,3$, and $t=1,..,T=365$ days, and I want to model the expected shortfall given arbitrary positions on those stocks. I calibrate the GARCH model ...
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### Reducing possible models count for calibration in ARFIMA-GARCH models

I have the question connected with ARFIMA-GARCH models. I have a time series for which I want to calibrate best model (p,q)-(P, Q) (via BIC) with $p,q <= 4, P,Q <=2$. GARCH part can be "...
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### eGARCH(1,1) model evaluation (R). How to assess model integrity?

I am using GARCH modelling for my bachelor thesis in Economics. I am entirely new to the concept, and have only been looking into these kind of models for about a week now. I am trying to do a ...
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### Profitability on Value at Risk forecasting

I'm conducting a research related to Value at Risk forecasting using volatility models like GARCH and others. My predictions are turning out quite well with some models. Is there a way to capitalize ...
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