Questions tagged [time-series]

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

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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="...
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1answer
108 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 ...
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2answers
632 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 ...
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1answer
621 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 ...
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386 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: ...
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2answers
482 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 ...
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3answers
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 ...
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1answer
34 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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65 views

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 ...
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37 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 ...
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2answers
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 ...
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0answers
330 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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2answers
261 views

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 ...
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1answer
592 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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2answers
16k 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 ...
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2answers
86 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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1answer
261 views

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'...
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1answer
108 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 ...
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1answer
113 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 ...
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1answer
114 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. ...
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0answers
106 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 ...
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1answer
512 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/...
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8answers
25k 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. ...
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79 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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1answer
216 views

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 ...
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4answers
15k views

Are public historical time series available for ratings of sovereign debt?

The nice list of free online data sources What data sources are available online? does not mention any data from ratings agencies. Are historical time series available for sovereign credit ratings (...
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1answer
649 views

How to efficiently get covariance matrices from a rolling window in Matlab?

I'am trying to produce a rolling window to estimate a covariance matrix using a for-loop. I have my returns under the variable returns_sec and I have 260 ...
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0answers
872 views

R Help: Daily time series on business days

I have a daily time series in a csv file. With the below command I read the data in a data.frame test <- read.csv("xxxx.csv", header = T, sep=";", dec=",") I ...
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2answers
4k views

How to Calculate Confidence Intervals for Moving Averages Given Nonindependence?

I've plotted 30-year moving averages across time for a couple of portfolios, and I was wondering how to calculate a 95% CI for the these moving average data (i.e., across all moving average data ...
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1answer
1k views

Historical beta: Beta estimation for which time horizon?

In practice historical beta is the most used approach for calculating beta. Some one can use i.e. the last 6 month daily returns of stock i and market m to calculcate this. Nevertheless I am ...
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360 views

Why are my GARCH forecasts biased?

I've run an ARMA(1, 1)-GARCH(1, 1) model with normal density on log returns for twelve stocks. I computed the one-step-ahead out of sample forecast for daily volatility on a rolling windows for 500 ...
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0answers
662 views

How to construct a continuous price time series out of futures raw data in Excel?

My object of research is corn futures: It is well known that corn futures expire 5 times per year: March, May, July, September and December. Due to their finite life that is limited by their maturity,...
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5answers
24k views

Why are GARCH models used to forecast volatility if residuals are often correlated?

The answers to this question on forecast assessment suggest that if the sequence of residuals from the forecast are not properly independent, then the model is missing something and further changes ...
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2answers
746 views

How to adjust regression for rolling returns?

I have a predictor variable (x) and dependent variable (y). Both are monthly rolling annualized returns, which naturally induces significant autocorrelation in x and y. They both also fail to be ...
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0answers
208 views

When to use SV or a GARCH model

So i have been searching for this answer for a question if there is a rule or something that would say when to use GARCH type model or use an stochastic volatility model to predict the volatility of ...
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3answers
196 views

ARIMA model coefficients from discontinuous data series

Stock prices are not stationary processes during all week or all day. For example EURGBP has low variability at night in Europe but during working hours is changing much more dynamic because of market ...
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0answers
556 views

Is there a difference between “regression toward the mean” vs “mean reversion”, in the context of financial time series and cash flow analysis?

I read the Wikipedia articles, and it implied that it was different: https://en.wikipedia.org/wiki/Regression_toward_the_mean In finance, the term mean reversion has a different meaning. Jeremy ...
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1answer
592 views

Return.portfolio error from PerformanceAnalytics package

When using the PerformanceAnalytics package of R, I am getting an error from the Return.portfolio function whenever I ask it to rebalance_on any frequency. If the rebalance parameter is removed, the ...
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4answers
179 views

What is the industry standard for annualizing returns over non-contiguous time periods?

Suppose I am invested in the same fund for the first 200 days in 2013, some combination of 150 days in 2014, and the last 100 days in 2015. Further suppose that geometrically linking the daily returns ...
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4answers
268 views

Compare two time series with different frequencies

Lets say I have two time series $X_t$ and $Y_{t,q}$. As an examples, lets say $X_t$ is a series that measures year over year changes in the level of output of a good (say number of widgets). So $X_t = ...
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0answers
76 views

Using GO GARCH to optimize a yearly-rebalanced portfolio based on daily data

Is it reliable to optimize portfolio weights on a yearly-rebalanced portfolio based on the Generalized Orthogonal GARCH (GO-Garch) covariance, coskewness, and cokurtosis matrices with the rmgarch R-...
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1answer
3k views

How to find the formula for the half-life of an AR(1) process (using the Ornstein–Uhlenbeck process)

Using the Ornstein–Uhlenbeck process, I want to prove the half life formula for AR(1) is $$\text{HL}=-\log\left(\frac{2}{ \lambda}\right)$$ I have Ornstein–Uhlenbeck process defined as $$dx_t=\theta(...
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3answers
832 views

Cointegration pair trading - how to test a trading rule using Monte Carlo?

I am doing a research exercise where I have two price series $X_t, Y_t$ which I regress against each other and test for cointegration. Once I confirm that they are cointegrated (using CADF or ...
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1answer
249 views

Calculating HIstorical VaR with short time series

Intuitively, Historical VAR is an approach which assumes that in the past data, we have observed everything that can happen, so we consider the worst case(tail). However, when your equity/instrument ...
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2answers
109 views

Co integration of diverging time series

I have 2 time-series datasets. I am trying to find co integration between them. Now the thing is they are negatively correlated. So if I want to look at the distance between them, would I be right in ...
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0answers
77 views

Common pre-processing steps for forex data

This is almost certainly going to make me seem like a novice, but googling for answers is very difficult for this sort of thing. My friend asked me to take a look at some forex data recently. My ...
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1answer
229 views

Time series of European sovereign credit ratings by the Big Three?

I would need time series, from 2000 to 2015 (if possible) of sovereign credit ratings by Moody's, S&P and Fitch. Could you suggest me a source or provide me such a dataset? Thank you very much!
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9answers
31k views

Efficiently storing real-time intraday data in an application agnostic way

What would be the best approach to handle real-time intraday data storage? For personal research I've always imported from flat files only into memory (historical EOD), so I don't have much ...
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0answers
76 views

Price return or total return for GARCH models

Is there a problem in modeling total return rather than price return when using GARCH models? My line of thinking is that total return includes dividends, which is only a "pseudo-random variable" in ...