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Scaling the length of the discrete time step in GARCH models is, from memory, not at all straightforward. For example, you can't just multiply things by the square root of time, like we do for some other, simpler, processes. For the case where $\delta \rightarrow 0$, the convergence is derived in Nelson (1990) "ARCH Models as Diffusion Approximations&...


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According to Hill & McCullough (2019) the rugarck package don't use the QMLE method. They said: "However, the "robust" standard error is not the QMLE used by many other packages, and the documentation does not specically state what type of robust standard error is used." "The poor accuracy of the robust standard error makes us ...


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Althoug I can only provide recommendation as to the forecasting task (see below), I want to point out one big caveat one has to account for: Intraday price volatility- or to be exact, the absolute returns, exhibit an intraday pattern which looks like a wave. This implies that the data is autocorrelated, which violates the assumptions of ARCH/GARCH models (...


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