# 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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### how should i interpret the gjr-garch output where the gamma coefficient comes positives but insignificant?

i run gjrgarch model on russia stock market where the gamma coefficient in gjrgarch(1,1) model output is insignificant but positive. "gamma1 -0.026240 0.033785 -0.77669 0.437340" how ...
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### Any reproducible r code for week day effect in garch?

I am looking for an r code to run a GARCH model with a day of week effect. Is there any package or code I can use for this?
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### I am getting an $\alpha=0$ in the GARCH(1,1) model. Is this normal and how must I interpret it?

I am running a GARCH(1,1) on return data. For some data sets, I am getting an $\alpha=0$ and a $\beta$ of 0.999. Is this normal? If so how should I interpret it? Here is my code, here j are daily ...
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### What is the relationship between the estimated GARCH(1,1) conditional volatility and the true conditional volatility

Suppose that the data has been generated by a GARCH(1,1) model, i.e. \begin{align} y_t &= h_t \epsilon_t, \; \epsilon_t \sim N(0,1) \\ h_t &= \alpha_0 + \alpha_1 \epsilon_{t-1}^2 + \...
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### Examining the dependence of the fractional difference parameter in ARFIMA(0,d,0) vs bar size for Realized Volatility

Realized volatility is a long-memory process and so I fitted an ARFIMA(0,d,0) to log(RV15) where RV15 is realized volatility calculated from 15-min bars. I proceeded to examine how changing the bar ...
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### Any way to identify optimal lag length for garch model using Python

Is there any python library that automatically calculate p and q for the GARCH model? (for example: auto_arima in pmdarima) since that for both statsmodels and arch library in python needs to manually ...
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### How to use conditional volatility under GARCH model to forecast price?

I have come across videos on youtube about GARCH model in stimulating and forecasting stock price, however, it is programmed in R language. Is there any tutorials teach the similar as the videos shown ...
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### GARCH(1,1) parameter estimation optimization method

In estimating a GARCH(1,1) model, $$\sigma_{t+1}^2 = \omega+\alpha \epsilon_t^2+\beta\sigma_t^2$$ Usually the parameter tuple $(\omega,\alpha,\beta)$ is estimated by the quasi-maximal likelihood. ...
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### How to estimate Hodrick Standard Errors in R

Does anyone know how to implement Hodrick Standard errors in R? I could not find any package for it in R. Is anyone aware of the same or any open source code that implements it? I want to use Hodrick ...
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### Can we model Implied volatility using GARCH?

Can I use Implied volatility as a dependent variable in a GARCH model? I believe my IV data shows ARCH effects and hence can I use it to model volatility of the volatility? I know literature has used ...