Questions tagged [time-series]

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

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1answer
269 views

Estimate an AR(1) model from returns [closed]

I am studying share price log returns and AR(1) model. I downloaded data from $FTSE100$ and I used the Adj.close column to find the Ln returns: Now I am trying to understand how can I estimate an AR(...
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0answers
59 views

Creating a synthetic future

Let's say we have a time series for an illiquid future and we would like to replicate this time series using two time series for liquid futures using daily rebalancing. What would be a good approach ...
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5answers
3k views

Are two identical time series cointegrated?

I did cointegration test on two identical time series, and the result shows that they are not cointegrated, but intuitively, I think they are. Can anyone share some thoughts on this? Thanks!
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3answers
2k views

How to convert weekly data to monthly in r (or in Julia)

I have weekly series on financial risk index data as follows: DATE NFCIRISK 1/8/1971 0.58 1/15/1971 0.61 ......through 10/6/2017 -0.88 10/13/2017 -0.89 10/20/2017 -0.89 ...
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0answers
126 views

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 ...
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1answer
462 views

How to use exponential smoothing for trading?

I was wondering if there's a rule of thumb regarding the value of alpha used when performing exponential smoothing. I plan to use this technique to preprocess my data before feeding them into my ...
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1answer
98 views

Why should we care if the “squares of returns are independently distributed over time” to choose an adequate model of the distribution of returns?

In a Time Series Book by Hashem Pesaran, he mentions that there are a number of issues that need to be addressed in order to choose an adequate model for predicting asset returns. I understand the ...
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1answer
666 views

Where to find historical fundamental data of S&P constituents in Thomson Reuters database?

I need data such as Net Income, ROA, ROE, etc. for companies in S&P 500 Index. I would like to see the values also for other years, e.g., since 2010. However, when I log-in to Thomson Reuters ...
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0answers
185 views

Trouble computing the VaR for Student's t-distribution for a minimum-variance portfolio composed of four cryptocurrencies (BTC, ETH, LTC, and XMR)

I have modelled the time-series of daily log-returns from August 2015 to October 2017 of a minimum-variance portfolio composed of four cryptocurrencies (BTC, ETH, LTC, XMR) by fitting the data to four ...
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3answers
837 views

Is the average of independent Brownian Motions still a Brownian Motion?

If $W$ and $B$ are independent Brownian Motions (BM thereafter), then the average of $W$ and $B$ is $X_t=\frac{1}{2}(W_t+B_t)$. Where do I begin to show that indeed it is still a BM? Also, if both ...
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0answers
110 views

What is a good algorithm to predict volatility in metals commodity markets? [closed]

I'm trying to create a script to predict major swings in the price of Aluminium. I am trying to implement a dynamic time warping algorithm for the same. Was wondering if this really is the best ...
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2answers
791 views

adding dummy variable to ts object in r for particular quarter

I've looked all over and can't seem to get a clear idea of how to do this; I have ts data with quarterly frequencies. I simply want to add a dummy variable only for the data corresponding to Q4 but I ...
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2answers
971 views

Choosing the right statistical test for Mutual Fund Performance Evaluation

How do you suggest I do this? I would like to perform a statistical test to check if: the aggregate alpha of all funds equals 0. the aggregate beta of all funds equals 1. Data Sample of 1000 ...
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1answer
760 views

Online algorithm for calculating EWMA at irregular intervals?

What is a fast online algorithm for calculating the EWMA (exponentially weighted moving average) of an input variable observed at irregular intervals? I know the formula for when sampling at regular ...
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1answer
63 views

which method is the roubust method to estimate the Hurst parameter?

I know there exist lots of method to estimate the Hurst parameter, such as R/S, V/S, GHE, DFA, DMA, Wavelet Spectral Density, Whittle and so on. Can you tell me which one is the best one. Is anyone ...
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0answers
748 views

Application of time series analysis to Bitcoin prices

Various exchanges allow for the trading of Bitcoins. The price of Bitcoin was very volatile since the inception of the system, today it is 391.76 USD: I wonder whether time series analysis tools from ...
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6answers
14k views

Which library shall I use for time series analysis in Java?

I'm looking for a library to do some time series analysis in Java but I can't find anything suitable. I've found plenty of libraries such as Math3 of JSAT but there's much I can you for my problem. ...
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1answer
47 views

Is my data fittet to be significant?

I am new to this forum and hope for some help. I have a dataset of returns. I cannot tell where these come from, but let's assume they come from a trading algorithm of stock prices. The returns are ...
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1answer
571 views

principal component analysis on non stationary data

I read that since stock prices are non-stationary it does not make sense to take their covariance. So I took the log returns of stocks, computed covariance matrix, took the top few eigen vectors that ...
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1answer
77 views

VaR estimation when returns are not independent, e.g. ARCH

Time series of returns, $r_t$, in finance are often modeled with some type of conditional heteroskedasticity model, e.g. ARCH(1): $$r_t = \sigma_t z_t$$ $$\sigma_t^2 = a_0 +a_1 r_{t-1}^2$$ where, ...
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1answer
442 views

How to know if a time series is trending or mean reverting?

I came across Michael Halls-Moore article on using the Hurst exponent test to determine if a price time-series is mean-reverting, trend-following or closer to a random walk, but doesn't this disregard ...
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3answers
2k views

Calibration of a GBM - what should dt be?

I have a time series of daily data that I want to calibrate GBM parameters $\mu$ and $\sigma$ to. Using the discretized solution $$ S_{t_{i+1}} = S_{t_i}\exp\left(\left(\mu - \frac{\sigma^2}{2}\...
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1answer
100 views

How to find coefficient that will minimize the distance between few times series

I have 3 time series X1, X2, X3. I want to find the coefficient (c1, c2) that will minimize the distance between them as follow: $$MIN\sum\sqrt{(X1-(c1*X2+c2*X3))^2}$$ The constrains are: $$-1< ...
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4answers
8k views

What is a stationary process?

How do you explain what a stationary process is? In the first place, what is meant by process, and then what does the process have to be like so it can be called stationary?
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3answers
175 views

Hourly Returns Statistical test

I am trying to do an analysis on time zones effect on intraday returns. As a first step, I collected hourly log returns for the past 3 years and bucketed them by hour (so that I have 24 buckets ...
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0answers
120 views

Testing whether a process is a Wiener process [closed]

Ideally I would like links to code implementations (eg. Matlab ) or book/paper references, but I would appreciate suggestions on various methods. Update: I was hoping to attract people who test the ...
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1answer
188 views

Looking at distribution of yearly returns of time series

For S&P, or any time series for that matter. When doing analysis on the distribution of the yearly returns, should I be looking at 1) the daily year over year values, 2) pick some starting point ...
2
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1answer
2k views

Counterintuitive time varying Beta with Kalman filter

If you're used to play with R, you'll enjoy the following reproducible code: ...
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1answer
112 views

Information criteria via different GARCH models

I have a question about comparison of different GARCH models via information criteria. I use rugarch package. So, let's have 3 model types: "sGARCH", "eGARCH", "gjrGARCH". I fit all 3 type models for ...
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3answers
153 views

Time Series analysis — Overnight gap

I am doing some time series analysis on some 5 minute bar stock data. If I want to specifically focus on data during trading hours and ignore any pre and post market activity, how would I effectively ...
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1answer
582 views

How can I compare 30 day implied volatility forecasts with GARCH forecasts?

I'm trying to understand whether there is a good way to compare forecasts for volatility from different sources i.e., implied volatility and GARCH. I'll outline a few statements that I believe and if ...
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1answer
305 views

Granger causality with stocks and CDS

I would like to take a closer look at stock prices and CDS spreads of different entities. Because both of them are nonstationary in levels, I use log stock returns and the first difference of the CDS. ...
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0answers
34 views

Binary probit model: relevant which outcome is 1?

I'm currently working on predicting bear and bull phases with a dynamic probit model in the form of $y_t=\beta_1X_t+\gamma_1y_{t-1}+\epsilon_t$. So far I've written all my code in matlab and it works ...
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2answers
722 views

What is the best way of updating data while using Empirical Mode Decomposition to analyze

I have a question about EMD updating new data points. For an entire time series, from beginning to the end, the EMD preforms quite good using the cubic spline function. The problem happens when new ...
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0answers
98 views

VAR models when examining relationships between financial markets

When researchers examine lead-lag relationships between credit default swaps and (as an example) stock markets, many use Vector Autoregressive Models (VAR). They want to find out what market "is ...
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2answers
424 views

Is a linear combination of GARCH processes also a GARCH process?

If two time series follow a GARCH process, and a third is a linear combination of them, is the third also GARCH process?
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1answer
99 views

Investigating a question: “Does commodity price volatility scale with price level?”

I'm trying to answer a simply posed question using a GARCH model: can we expect larger price shocks in a commodity when it's price is higher? (i.e., may we expect larger price shocks at \$100 per ...
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4answers
228 views

Data Issue: Observations in Portfolio Construction

Question With 60 data observations, how do I construct a time series analysis properly? How to do Certain Calculations such as covariances on data with Gaps and Inconsistencies? Background of ...
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0answers
116 views

Wavelet transform (the à trous time-based decomposition) in R

I urgently need to know how to apply the 'à trous' time-based decomposition in R [also known as Stationary Wavelet Transform] on a time series as a preprocessing, to use the result in forecasting and ...
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1answer
535 views

DCC GARCH: specifying ARCH and GARCH parameter matrices in STATA

The command in STATA to estimate the DCC model of two variables is: mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t) $$ \begin{bmatrix} h_1{...
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1answer
188 views

time series for futures roll

I'm trying to build a multi year time series for a 3 month futures contract. How do I handle rolls? On the day of roll, volatility is high and I want to roll over to next contract series in a way that ...
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1answer
81 views

Two time series similarity with slightly offset timestamps [closed]

Let's say I have two time-series S1 and S2 where S1 looks like this: ...
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2answers
76 views

Is my demand prediction too low?

I have a problem right now at work. For certain business segments, some sales target are established each year. These targets are established based on the managers feelings. It's like this: Manager: ...
2
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1answer
119 views

Detecting stochastic volatility

I have a time series extracted from a financial time series (so my series of prices is described by an arithmetic model $X(t)+Y(t)+Z(t)$, my series is $Z(t)$). I'm trying to model $Z(t)$ by a Levy ...
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1answer
492 views

Calculation of dividend yield from index returns

For a research project, I need to find or calculate dividend yield for all the index of major countries in the world (e.g: s&p500,DAX,CAC40 and so on), and I am struggling a bit with it. I cannot ...
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0answers
56 views

Dealing with misaligned dates for trend-following strategy?

This is a bit of a naive question, but I figured it couldn't hurt to ask. I have time series data that looks like: ...
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1answer
207 views

Most GUI user friendly Time series Econometrics software for modelling and Forecasting GARCH models [closed]

I think the question is simple enough. I have been using Eviews, but it is unable to do recursive one step ahead forecasting directly and requires me to use coding, which I'm not very good at. I need ...
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1answer
379 views

z-score versus log standardisation of stock prices for calculating correlation; which to use (in ML clustering, distance measure)?

I need to compare (get correlation between) different financial instruments (stocks). The problem is that different stocks will have different price scales. I was thinking of using z-score ...
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0answers
126 views

Questions on the concept of GARCH model [closed]

As we all know, the GARCH model is stated as $\epsilon_t = \sigma_tz_t$ $\sigma_t^2 = w + \sum^q_{i=1}\alpha_i\epsilon_{t-i}^2 + \sum^q_{i=1}\beta_i\sigma_{t-i}^2$ In application, the estimate $\hat{\...
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0answers
734 views

Quantmod - converting daily data to weekly data (changing time intervals from monday to monday)

I'm trying to convert daily data into weekly data, but with the time interval from monday to monday. First I download historical prices from Yahoo: Tickername<-getSymbols("Tickeername",from="...