# Tagged Questions

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### Weak stationarity and ARMA-ARCH/GARCH models?

I am slightly irritated about weak stationarity in connection to ARCH/GARCH models. I do not know the answer and I am not sure about it: The basic question is: Do we have to test weak ...
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### Mean equation of GARCH

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 ...
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### Regressing volatility of one variable on volatility of other variable [closed]

I am a finance student and in finance we measure the risk of different financial items like stock prices, earnings, and cash flows etc. we measure this risk either through standard deviation or ...
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### Measuring volatility of EUR/USD with GARCH(1,1): “Constant” problem

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 ...
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### Jointly estimation of model or single step estimation?

I have financial data (return) and use the following model: where $R_t$ is the return at time t, $\mu$ is set to zero, $\sigma$ is the volatility and $\epsilon$ is an innovation process. The ...
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### VaR calculation

I am refering to this article: RiskMetrics Technical Document - Fourth Edition 1996, December One of their model is called RiskMetrics-GED and given by (p. 238-239): on p. 242 they say My ...
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### Volatility model combined with different distributions?

I am working on fitting distributions to financial data using different volatility models. The simplest case of a gaussian distribution I do understand: The data is $\mathcal{N}$$(\mu,\sigma^2)$ ...
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### Why do different estimators for stock volatility exist? (Realized Variance, RAV, etc)

I am very confused about why different volatility estimators (RV, RAV, BPV, etc) exist. If the goal is to find the best estimator for stock volatility, and volatility is latent, how do I know which ...
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### Criticism, please: simplifying state space model

As a little experiment, I am extending a nice, interpretable AR/MA relationship between a security $r$ that is variably influenced by the previous $k$ time points over another security $f$. These ...
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### 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 ...
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### Why is volatility an important topic in financial econometrics?

I do not know if it is totally off-topic, but I thought it might be useful to have opinions and an aggregate answer about why volatility is an important topic in financial econometrics. I think it ...
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### Forecasting volatility using GARCH

How do I forecast volatility using GARCH in STATA after estimating the conditional volatility?
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### Implied volatility in R software

Does somebody know if R computes implied volatility as a number or directly in percentage value? And historical one? e.g. the output I get for implied volatility is about 1.58. Does it mean that the ...
605 views

### Fitting a GARCH(1,1) model

How much data is needed to properly fit a GARCH(1,1) model?