Timeline for ARMA-GARCH model selection / fit evaluation
Current License: CC BY-SA 3.0
12 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| S Jul 13, 2015 at 17:11 | history | bounty ended | CommunityBot | ||
| S Jul 13, 2015 at 17:11 | history | notice removed | CommunityBot | ||
| Jul 9, 2015 at 1:07 | answer | added | Zachary Blumenfeld | timeline score: 2 | |
| Jul 7, 2015 at 8:17 | comment | added | user2249626 | I've edited my post to include the log return data. | |
| Jul 7, 2015 at 8:17 | history | edited | user2249626 | CC BY-SA 3.0 |
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| Jul 6, 2015 at 12:26 | comment | added | Cagdas Ozgenc | It is very unlikely to have significant autocorrelation of returns in time series of tradable instruments in a competitive market. You are zooming the graph and the bars look big, but in reality those autocorrelations are very low (i.e. 0.02). Squared returns are a different matter, they exhibit strong autocorrelation. It is a stylized fact called volatility clustering. | |
| Jul 5, 2015 at 16:17 | history | tweeted | twitter.com/#!/StackStats/status/617729117652434945 | ||
| Jul 5, 2015 at 16:12 | comment | added | Plissken | Could you post your data or full output? | |
| S Jul 5, 2015 at 15:18 | history | bounty started | user2249626 | ||
| S Jul 5, 2015 at 15:18 | history | notice added | user2249626 | Draw attention | |
| Jul 3, 2015 at 15:51 | history | edited | user2249626 | CC BY-SA 3.0 |
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| Jul 3, 2015 at 15:17 | history | asked | user2249626 | CC BY-SA 3.0 |