Questions tagged [seasonality]
The seasonality tag has no usage guidance.
Seasonality adjustment within Quantlib Zero Coupon Inflation Swap
I am currently working on pricing a Zero Coupon Inflation Swap using Quantlib in Python. During my analysis, I have observed that when the start date and end date of the swap coincide exactly with X ...
Testing for hourly seasonality
So I have compiled the hourly log returns for an asset, and grouped it in columns with each column being one hour's returns. How can I test whether there are seasonal patterns in the returns according ...
How to fit a SARIMA + GARCH in R?
I'd like to fit a non stationary time series using a SARIMA + GARCH model. I have not found any package that allow me to fit this model. I'm using rugarch: ...