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Quantitative Finance
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Fly_back
  • Member for 9 years, 10 months
  • Last seen more than 2 years ago
  • Sydney, New South Wales, Australia
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 Yearling
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 Popular Question
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 Autobiographer
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Interpretation of t-test in event study with dummy regression
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Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
Yes,@JPN. But if you want a dynamic one, then check the model: Dynamic Conditional Correlation GARCH model or Asymmetric Dynamic Correlation GARCH model.
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 Editor
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How to interpret regression coefficients with dummy explanatory variables?
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Could we estimate a portfolio's volatility using a GARCH on the portfolio returns?
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How to interpret regression coefficients with dummy explanatory variables?
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 Teacher
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What are the advantages of financial modelling in R?
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 Curious
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The difference in sign bias test in detecting the exist of asymmetric effects and the adequacy of symmetric GARCH model.
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 Tumbleweed
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How to decide if the ARCH coefficient is necessary in the GJR-GARCH model?
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A good way to calculate the realised daily volatility
Thanks, @Drew. But the situation for me is that I can not get the high frequency data.:-(
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A good way to calculate the realised daily volatility
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