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Questions tagged [time-series]

A temporal sequence of events measured at discrete points in time.

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1answer
30 views

serial correlation and CUSUM results

I have the following CUSUM test resulted from autoregressive distributed lag models (ARDL). Does the CUSUM results show that the model is stable? I am a bit confused because the red line in CUSUM ...
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1answer
30 views

Calculating Ex-ante Sharpe Ratio in multi-period setting

I have built a return process $\{x_t, t = 1,\dots,T\}$ for an asset. Suppose I have generated $K$ sample paths $\{x_t^j, t=1,\dots,T\}, j=1,\dots,K$. I think of two ways to compute the Sharpe ratio. ...
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0answers
69 views

R Equilibrium FX using VEC or Behavioural Equilibrium Exchange Rate (BEER)

I dont have much experience with R. I would like to do create model for FX Equlibrium using VEC or BEER. I already know what variables I want to use in model: trade differential between UK and the ...
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0answers
47 views

Some basic examples for Granger causality

I have two time series, X and Y. The number of observations in each time series is the same and the variables would be price(logged). The goal of my research is to analyze if one variable X follows ...
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1answer
54 views

Is there such a thing as resonance in economic underliers?

In physics the occurence of resonance is explained and widely understood in its linear form and subject to research in nonlinear resonance. Example for instance are resonant frequencies of objects. ...
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67 views

Autoregressive Distributed Lag Models (ARDL) results analysis

When using autoregressive distributed lag models (ARDL), I usually get a counter-intuitive result for the selected lag. For example, when examining the relationship between GDP and Foreign Direct ...
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0answers
16 views

Realised option values. (Beginner in R/ Coding****) [migrated]

I have started playing around with R and quantmod. I want to create a dataset for realised option values on the S&P500 and compare this to the Black-Scholes estimated value for a finance class ...
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1answer
54 views

Multivariate Markov Regime switching GARCH

I have a regression with 4 independent variables and a dependent variable. I want to implement a Regime switching GARCH model but have been unable to find a package in R,Python or Matlab. MSGARCH ...
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0answers
80 views

Feller Condition (Cox-Ingersoll-Ross) source

For the Cox-Ingersoll-Ross model $$\text{d}r_t = a(b-r_t)\text{d}t+\sigma\sqrt{r_t}\text{d}W_t$$ the condition (referred to as "Feller condition") $$2ab\geq\sigma^2$$ ensures that the solution is ...
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0answers
52 views

Standard GARCH(1,1) model with external regressors

I have a queastion how does a standard GARCH(1,1) model with external regressors in mean and variance euqations look like ? I know that standard GARCH(1,1) model without external regressors has the ...
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3answers
156 views

PCA for Risk bucketing

I'm working on a project to justify the use the certain tenors (2y, 5y, 10y, 30y) for risk bucketing. I'm a little stuck after calculating the principal components. Just to describe my approach- a) ...
2
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1answer
80 views

How to compute cumulative performance of a portfolio with two equities?

I have a time series of adjusted returns for two companies, A and B. I have created a portfolio consisting of these two time series with equal weighting (sum of weights must equal 1): $w_a = w_b=0.5$...
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1answer
51 views

Data Sources for Timestamps of Individual Trades [duplicate]

Are there any data sources where I can get the timestamps of individual trades/transactions? I'd like them to be at the second level or even the millisecond/nanosecond level. Ideally, the trades would ...
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0answers
29 views

General to specific approach to modelling

I am trying to find the relationship of stock indices across the world. This has been done by the literature, however, I am wondering about the methods chosen. I have decided to go with what I think ...
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0answers
88 views

Detecting leading stocks using lag correlation

I am working on a project to find leading stocks in a stock market by using lag correlation. Say I want to compare 2 stocks, X and Y, and I have the time series of stock prices. Assume that the ...
6
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1answer
124 views

How to perform cross-sectional asset pricing regression?

I'm wondering is that possible to get insignificant beta estimates in the time-series context, but highly significant risk premium associated with that beta in the cross-sectional regression? Any ...
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0answers
122 views

What is the best source to get 10 milliseconds time-series data for numerical computation?

I am working with 4th order Runge-Kutta method to compute a second order differential equation. For the best accuracy, I need a 10 milliseconds ohlcv time-series data. I know that I can build it ...
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0answers
56 views

How does the FED calculate SAAR for GDP?

In looking at the Fed's GDP growth rate data, it looks like the fed uses a different calculation for calculating annualized growth rate than the typical annualized rate of change. Does anyone have any ...
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1answer
60 views

Monte Carlo simulations of stock price percentage change rather than stock price

Say we have a stock price time series $S_k$. We can do monte carlo simulations on the stock price to make predictions about future prices (e.g. through Geometric Brownian Motion SDE's). Does it make ...
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0answers
68 views

Rolling forecast using GARCH model

EDIT This is not a duplicate of my original question linked, since I have since overcome that problem and have posted an answer. Since solving the previous problem, I have run into the problem ...
2
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1answer
74 views

Can you use GARCH-MIDAS for intraday data?

I'm working on a project to forecast volatility and I'm using intraday data (1 min). I want to include exogenous variables to the model that have daily frequency. I was wondering if GARCH-MIDAS can be ...
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2answers
115 views

Do you optimise models on bootstrapped time series?

As Quants, we soon learn to optimise models, by fitting them to historical time series, e.g. the historical daily returns of some stock. But the historical series of daily returns is just one ...
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1answer
53 views

Volume or Dollar bars vs. volatility normalized and demeaned financial time series

In his book - Advances in Financial Machine Learning, Marcos Lopez de Prado familiarises the reader with a number of ways of normalizing our financial time series data. Below I provide a couple of ...
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1answer
63 views

Calculate New Portfolio Weights Given Today's Returns

I'm looking for a formula to recalculate my portfolio's weights at the end of time $T$, given a vector of the asset weights at $T$ and a vector of returns at $T$. For example: ...
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0answers
101 views

Poor results forecasting stock price volatility using Python's GARCH model

As far as I understand, forecasting stock price volatility should be more achievable than forecasting absolute prices or returns. It seems as though GARCH models are the traditional and most widely ...
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0answers
31 views

Johansen Cointegration Test in R

I know its probably been asked bevor but i just don't get it. I have 2 values (Oil and corn price) and i want to check if they are cointegrated. Bevor that, i have tested if they really are non ...
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0answers
242 views

RiskMetrics VAR calculations and conditional distribution of sum of log returns

According to Tsay's book in Chapter 7, for the Risk Metrics model: A nice property of such a special random-walk IGARCH model is that the conditional distribution of a multiperiod return is ...
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1answer
21 views

Auto-covariance function of station time series

How to show that for any stationary time series its auto-covariance function is symmetric about the origin, that is $\gamma_{k}=\gamma_{-k}$ where, $\gamma_k=cov(z_t,z_{t-k})$
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0answers
21 views

Sample distribution of cross-sectional statistics of returns

Currently doing an application of VaR on sample of industry portfolios in the US. I have a matrix of $n$ industry portfolios with $m$ time-series observations. I calculate cross-sectionally (for each ...
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1answer
43 views

Where can I download for free the entire price history of the nasdaq composite and s&p500 indices? [duplicate]

I would like the entire price history of both these indices at an end-of-day level, not intra day. Is there an R api that I can use for such an exercise?
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0answers
40 views

Interpreting the ACF graph

I am currently struggling with the interpretation of a price chart and the corresponding ACF graph. The question is, if there is momentum in the price of this asset. This is the corresponding price ...
2
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1answer
78 views

Asset pricing model factor need to be excess return?

In John Cochrane's Asset Pricing book and his video lecture, he states that asset pricing factors need to be excess returns, a traded portfolio. Is there a reason for that? I can't find explanation ...
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0answers
41 views

GARCH(1,1) and Value at Risk: Rolling window or non-overlapping samples

Currently studying on financial risk management. I want to test different methods of VaR estimation. I want to model volatility using a GARCH(1,1) model. My question is what should the size of the ...
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0answers
51 views

Market Invariant for Commodity Futures

In the same sense that Meucci describes "compounded returns" as the invariant for equities and "changes in yield-to-maturity" as the invariant for fixed-income, what is the invariant for a commodity ...
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2answers
65 views

Imputation of missing returns

I'm trying to calculate a historical VaR for a portfolio of futures, however there are certain days for which some assets are missing prices. Since the portfolio consists of many spread positions, the ...
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2answers
80 views

Daily returns to monthly basic question [closed]

I am currently a little bit puzzled. I am trying to compute the monthly returns from a set of data. ...
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1answer
75 views

How long is considered `long-term'?

For a project I am doing I need to simulate the balance sheet of a pension fund. In order to do so I also need to simulate euro inflation. Since my inflation data is non-stationary, I model it using ...
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0answers
64 views

Cointegration between daily time series and intraday time series

I am working with time series data of daily prices, and intraday prices. For simplicity sake I will refer to the daily time series as 'A' and 'B', and the intraday time series of the same instruments ...
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2answers
83 views

How can currency (USD/TRY) be going up without having a candle before that would close under it?

I am having a hard time understanding how can USD/TRY be going up without having a period before that would close at a point under it. This is from today (2018-10-08 6:12 and 6:50). Is it moving up ...
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1answer
122 views

Why does computing correlation between index levels vs. percentage changes yield completely different results?

I am examining the relationship between the S&P 500 and the Industrial Production Index. Computing the correlation between these these variables yield vastly different results if expressed in ...
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0answers
17 views

suggestion for NDX volatility index prior to 2000

NDX index is available since 1984 in Bloomberg. There's VXN index that represents the implied volatility of NDX, which is available since 2001. I need some index or series that represents implied ...
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1answer
209 views

What is the Probability Distribution of Max-Drawdown?

How to obtain the probability distribution of Maximum Drawdown, starting from the probability distribution of Daily Returns? Here the details: Suppose I have a time serie of N=1000 daily returns. ...
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0answers
77 views

Comparison of normalization methods on market returns

I am looking to use a multi-factor model to make target-return predictions. Since the factor-returns come from different scales I need to normalize first. There are different ways to normalize ...
2
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1answer
125 views

A question about stationarity and ergodicity

Given daily returns of a stock index over 50+ years, a homework question asks: Plot the annual sample mean and variances of the returns and their absolute values. Are these estimates in agreement ...
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0answers
35 views

Forecasting time series data using auxiliary information and associated questions

Suppose I want to forecast MSFT time series, using MSFT history as well as SPY history. Are there good time series forecasting methods that permit auxiliary data to be used? Perhaps you should just ...
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0answers
66 views

Overlapping Data

I have a daily time series data spanning over 22 years. I need to compute some meaningful yearly standard deviation statistics / generate probability distribution and estimate tail risk. 22 years ...
1
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1answer
86 views

Understand the white noise condition in Vector Autoregression

In the following vector autoregression model with lag polynomial representation: $$\Phi (L) y_t= \epsilon_t$$ where $Y$ is the vector of endogenous variables, $\Phi$ is the parameters matrix, $\...
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3answers
94 views

Filling a few missing data in time series?

I'm writing a paper about Uncertainty indices like VIX, etc. I already collected all data but it seems that some of the variables got a few or a little more missing data. I have daily and monthly data ...
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2answers
244 views

Does predictability in a VAR process imply mean reversion or momentum?

There seems to be some disagreement in the literature about this. Define predicability of a stationary series to be $\sigma^2_{t-1} / \sigma^2_t$ Finding mean reverting portfolios using canonical ...
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1answer
79 views

How to calculate RSI while considering market close and holidays?

I was trying to calculate RSI over hourly OHLC bars for a symbol (AAPL as an example) and got stock, first how should I handle closing hours? (does it make sense to ignore them all together and assume ...