# Questions tagged [time-series]

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

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### Counterintuitive time varying Beta with Kalman filter

If you're used to play with R, you'll enjoy the following reproducible code: ...
116 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 ...
157 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 ...
630 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 ...
333 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. ...
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 ...
735 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 ...
99 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 ...
426 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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### 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="...
111 views

### How to check if relationship between two variable changes over time?

I am working on a commodity-exchange rate model as part of my thesis. My dependent variable is log of first difference of exchange rate of Colombia and my independent variable is log of first ...
657 views

### Error when trying to estimate a Markov-switching Var model in R

I'm trying to estimate a Markov-switching VAR in R using the command msvar. These are the first 10 entries of my two time series. I have 798. When I try to run this I get an Error message ...
686 views

### Correct procedure for modelling GARCH for forecasting volatility of stock Index returns

I will be using Eviews and am looking to forecast volatility of stock index returns using ARCH/GARCH models. I've generated the logarithmic returns and done the unit root tests. I then proceeded to ...
402 views

### forecast using rugarch in r

After fit the GARCH model, I want to plot the volatility forecast sigma series. I use ugarchforecast as follow: ...
528 views

### What's the exact definition of alpha?

I am quite new to finance and I often hear people say 'I have 2 bps of alpha' or 'I have an alpha of two bps' I don't quite understand what does this mean For me alpha is about predicting power. At ...
8k views

### Squared and Absolute Returns

I've always wondered why do one use squared or absolute returns to determine if volatility modeling is required for the return series? We understand that there are various tests for its ...
35 views

### Data on morocco exchange reserves

i'm trying to do some tests on exchange market pressure of morocco Where can i find data on morocco exchange reserves thanks
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### Combine future contracts into time series [duplicate]

I have future contracts from 10 years back that are combined in one file. There is a gap in the data every month due to rolling of the contracts. How do I remove this gap ad get a smooth time series ...
38 views

### Rotations and Shifts in the f-GARCH News Impact Curve

I re-post my question from the Cross Validated section as requested by another user. I am using the beautiful "rugarch" package and presently have an issue concerning the interpretation of two ...
2k views

### Lagged dependent variable, yes or no?

I read conflicting opinions about the inclusion of lagged dependent variables in modeling, and I guess it is partly up to the researcher and depending on the scope and goal of the research. I'm ...
356 views

### Forecasting volatility with rugarch and Covariance Matrix

I am trying to do a financial time series forecast in order to build a portfolio. I already have some code running rugarch library and I am not sure if I am forecasting correctly, after that I would ...
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### Reference request: Quantitative approaches to market abuse detection

have been asked to look at some financial timeseries for potential suspicious activity. These are stocks (my background fixed income hybrids trading and not forensic analyst...) and most of the ...
620 views

### VEC GARCH (1,1) for 4 time series

I have to estimate a VEC GARCH(1,1) model in R. I already tried rmgarch, fGarch, ccgarch, mgarch, tsDyn. Has somebody estimated a model like that? ...
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### Historical Daily/Monthly NAV for Closed End Funds - known duplicate but unanswered previously

Using this query ...
17k views

### GARCH model and prediction

I have a question about the prediction of volatility and returns of a time series. Basically it is a question about predict in the ...
88 views

### Reliable data sources of 1,2,3,5,10,30,60,320 minute S&P500 O,H,L,C,V data

I am looking for a reliable data source provider for 1 to 320 minute S&P500 data. Or the ES mini contract. Can anyone suggest a good source for this? Thanks! Andrew
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### Use of ACD to model transaction durations

I am using a simple ACD (autoregressive conditional duration) model with expoential or Burr distributed residuals and 1 lag, i.e. ACD(1,1). I am modelling durations for transactions data on a 'medium'...
112 views

### How to find relationships between financial data?

Suppose I have a time series of stock growth and one of gdp growth and education over the years. Can I try to explain stock using gdp and education by running an OLS or would I be mistaken from a ...
116 views

### cubic spline in excel with month, quarter and year inputs

Using Excel, how could I calculate a cubic spline curve in monthly granularity when my inputs are a combination of months, quarters and years? The quarter and yearly averages of the spline curve need ...
120 views

### Package ‘PerformanceAnalytics’ - Risk-free rate : Trouble using CAPM.beta() function

This is the first time I use the Package ‘PerformanceAnalytics’. I have a problem when it comes to use "Rf" (risk-free rate) when using the CAPM.beta. I use EONIA as a proxy for the risk free-rate. ...
111 views

### Linear Transformation of stock price

Suppose, using market data for a stock, at a tick level, I arrive at a time series, I(t), which is a linear transform of the stock price time series, S(t). I(t) is not leading S(t) and the lagged ...
585 views

### How to plot time series for stock data using R

We have a dataset which has open,high,low and close values. We have normalized the data and trying to plot normalized open values against Date. The dataset can be found at http://finance.yahoo.com/...
26k views

### What is the best data structure/implementation for representing a time series?

I was wondering what is best practice for representing elements in a time series, especially with large amounts of data. The focus/context is in a back testing engine and comparing multiple series. ...
83 views

### Time Series clustering

I have financial time series and PCA scores, that I'm trying to cluster. As PCA scores don't have orientation, I would like to know what clustering method would be suitable for clustering these kind ...
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### How do you decide what time frame you're going to use when testing for cointegration?

I've been fiddling around with different time frames when doing tests for cointegration between two timeseries, and I've realized that the dates that you use for your start/stop of the test will ...