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Reducing possible models count for calibration in ARFIMA-GARCH models

It depends on how you fit your combined models If you do sequential fitting ie. fit the ARFIMA(3,3) model first and then feed the residuals through a GARCH model, then all ARFIMA(3,3)-GARCH(P,Q) ...
Pleb's user avatar
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How do I understand and calculate daily log returns?

When you have multiple timestamps for each business day, you can still calculate the daily log returns by using the formula you mentioned: $log(Price(t) / Price(t-1))$. To do this, you would select ...
Sane's user avatar
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Is it possible to discretize OU with a more general AR(p) / ARMA (p,q) models?

Yes, you're correct. In an AR(p) model, the sum of all autoregressive coefficients governs the mean-reverting behaviour in case of an OU process. In an ARMA(p,q) model, the AR terms predominantly ...
Mahavir Bhattacharya's user avatar

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