I am new to GARCH models. I have read many papers but I cannot find a persuasive answer. What role does the mean equation play in GARCH? Mean equation: $h = x + e$ where $x$ is constant and $e$ is ...
I want to measure the volatility of EUR/USD parity for my exam with daily prices of past 3 years. I used GARCH(1,1) and get significant alpha and beta coefficients. GED distribution is used which ...
If you perform an ARMA on the volatility and add the squared returns as external variable, do you obtain a GARCH?
I wanted to focus on volatility forecasting, so instead of asking R to compute a GARCH where it would compute the errors on the returns, I wanted to model the volatility as an ARMA and add an external ...
How do I forecast volatility using GARCH in STATA after estimating the conditional volatility?
How much data is needed to properly fit a GARCH(1,1) model?
How Large a Difference Can Be Expected Between Standard GARCH and Asymmetric GARCH Volatility Forecasts?
I have been using various GARCH-based models to forecast volatility for various North American equities using historical daily data as inputs. Asymmetric GARCH models are often cited as a ...