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Questions tagged [modelling]

The tag has no usage guidance.

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1answer
70 views

Modeling independent variables that have an asymmetric impact on the dependent variable

I'm trying to regress a dependent variable on an independent variable that has an asymmetric impact. E.g., the dependent variable is much more responsive to an increase in the independent variable ...
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1answer
339 views

LIBOR 3M and 1M from Vasicek model

I would like to discuss my approach toward modelling of interest rates with respect to its downsides and advantages. My problem is to forecast daily LIBOR 3M and LIBOR 1M over a particular time ...
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0answers
620 views

GARCH modelling and forecasting

I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling the log return of oil spot prices using various GARCH models: GARCH, ...
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0answers
3k views

Models for simulating FX movements

My goal is to develop a model to simulate long term FX movements. (I am not sure if long term makes any difference, but if it does I am more interested in long term fx movements) These Monte Carlo ...
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0answers
875 views

How to backtest Value at Risk Models using Conditional and Unconditional tests?

I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test (...