Timeline for Forecasting stock prices with ARCH Model [duplicate]
Current License: CC BY-SA 3.0
11 events
| when toggle format | what | by | license | comment | |
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| Oct 24, 2017 at 6:37 | comment | added | user2968163 | So the formula looks like this: | |
| Oct 23, 2017 at 8:18 | history | duplicates list edited | Glen_b | duplicates list edited from What is the difference between GARCH and ARMA?, Forecasting levels through GARCH model to What is the difference between GARCH and ARMA?, GARCH forecasting in R: constant mean forecast!, Forecasting levels through GARCH model | |
| Oct 23, 2017 at 8:17 | history | closed |
Richard Hardy Taylor Michael R. Chernick kjetil b halvorsen♦ Glen_b |
Duplicate of What is the difference between GARCH and ARMA?, Forecasting levels through GARCH model | |
| Oct 23, 2017 at 7:01 | comment | added | Richard Hardy | Yes, you have understood that correctly. | |
| Oct 23, 2017 at 6:26 | comment | added | user2968163 | I read all the links you posted and I get from them, that I need a ARMA-GARCH model to forecast my time series. The way I understand the concept of this model is, that it is very similiar to the ARMA model with the difference, that e(t) isn't a N(0,1) random variable but it is e(t)=sigma(t)*Z(t) where Z(t) is N(0,1). And sigma^2(t) can be computed based on the GARCH order. Am I right with that or have I missunderstood the model? | |
| Oct 22, 2017 at 10:51 | comment | added | Richard Hardy | "What is the difference between GARCH and ARMA?" can also be helpful. | |
| Oct 22, 2017 at 10:47 | comment | added | Richard Hardy | Possible duplicate of "GARCH forecasting in R: constant mean forecast!" and "Forecasting levels through GARCH model". If these are not enough, check out the other questions tagged with garch and volatility-forecasting (and arima, autoregressive, moving-average, forecasting and finance) to find out more. | |
| Oct 22, 2017 at 10:28 | review | Close votes | |||
| Oct 23, 2017 at 8:22 | |||||
| Oct 22, 2017 at 6:23 | comment | added | user2968163 | My problem is, that I dont know how to compute the forecasts. For example in the AR(1) model it is Y(t)=a(0)+a(1)*Y(t-1)+e(t). For the first Forecast I simply switch the index and get Y(t+1)=a(0)+a(1)*Y(t)+e(t). But i dont know how I get these equations for the forecast in an ARCH model. | |
| Oct 21, 2017 at 17:47 | comment | added | Taylor |
so you want to assume the conditional mean is changing as well as the conditional variance? and you want help with the coding? I know the rugarch helps with fitting ARMA + GARCH models
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| Oct 21, 2017 at 16:14 | history | asked | user2968163 | CC BY-SA 3.0 |