Questions tagged [seasonality]
The seasonality tag has no usage guidance.
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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 ...
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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 ...
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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:
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