All Questions
14 questions
1
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1
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97
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In copula modeling for time series data, why do we need to fit ARIMA/GARCH and then work on standardized residulas.?
I have read that for standard copula modeling, you can get empirical cdf of data and use it for copulas. But for time series data, we must first fit ARIMA/GARCH, get standardized residuals, and only ...
- 23
2
votes
1
answer
219
views
Are ARMA-GARCH-type models suitable for monthly data?
I understand that ARMA-GARCH models and their variations are usually applied to daily time series. While I know that such models can be also estimated on monthly data, I have seen few applications in ...
- 191
0
votes
0
answers
343
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Do I use % return, log return or diff of prices to plot ACF?
I am reading a book on time series. To make a non-stationary series stationary, sometimes we need to difference the series. When it comes to finance, prices are non-stationary. Many authors fit ARMA ...
- 472
1
vote
1
answer
312
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What are some good models for stock price predictions?
For the fitting and forecasting of time-series data on stock price, the most frequent model I have heard of is ARIMA. ARIMA is actually conducting a regression of stock prices and residuals of stock ...
- 111
0
votes
1
answer
635
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Can ARMA and GARCH models be estimated separately in ARMA/GARCH？
Can I use the residuals of the ARMA model to build a GARCH model(with Zero mean)?
If so, does this mean that this GARCH model(with Zero mean) has no effect on ARMA's estimates. For example, if I want ...
3
votes
0
answers
118
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Expected Shortfall for ARMA-GARCH Model
I need to find an analytical solution for the 99% confidence expected shortfall (CVaR) for a long position of 100 dollars at time $t$ for an asset with returns modeled by an ARMA(1,1)-GARCH(1,1) model ...
1
vote
0
answers
646
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Combining SARIMA and GARCH model for prediction in python
I need to understand the concept of combining (S)ARIMA and (G)ARCH model for the predicting time-series data.
I understand that after fitting the arima model ...
- 111
1
vote
0
answers
227
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ARMA-GARCH Forecasting [closed]
I want to forecast a differenced time series of an Index using the combined ARMA-GARCH model (because I want to forecast the mean and not the variance). My model is a ARMA(2,2)-GARCH(1,1) model. So ...
- 21
1
vote
0
answers
64
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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 - \...
- 243
2
votes
1
answer
308
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distribution of AR, MA coefficients estimation in ARMA-GARCH models
could anyone give me an information about distributions of AR and MA coefficients via estimation?
So, for example, I have ARMA(1,1)-GARCH(1,1) model with the same AR(1) and MA(1) parameters ...
- 243
10
votes
1
answer
4k
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ARMA+GARCH prediction with package rugarch (R)
I am analyzing FTSE 100 series, from 2007-01-01 to 2010-12-31 (university exam homework).
I have to use the data 'til 2010-11-30 as sample, and the remaining (23) observations as in-sample forecast (...
- 585
7
votes
2
answers
2k
views
Is it too important that my residuals be normal? I am Using an ARMA/GARCH model
I am trying to fit an ARMA/GARCH model to a time series. I found that the best candidate is an ARMA(1,0) + GARCH(1,1) with gaussian white noise
It has coefficients with p-values near cero and the ...
- 173
6
votes
4
answers
3k
views
Is there any way to easily estimate and forecast seasonal ARIMA-GARCH model in any software?
I use R to estimate a seasonal ARIMA(8,0,0)(5,0,1)[7] model for the seasonal differences of logs of daily electricity prices:
...
- 83
7
votes
1
answer
430
views
Filtering out AR(1) effects before using stochastic volatility model
I wonder if I first filter out AR(1) (autoregressive model with lag 1) effects from univariate time series and then fit stochastic volatility model does above procedure introduce any bias at first or ...
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