Linked Questions

2
votes
2answers
4k views

The use of GARCH

I have a conceptual question that I haven't managed to grasp yet and is most likely a econometrics 101 question by here it goes: If we estimate a GARCH model for a time series, how do we then use ...
4
votes
1answer
3k views

Procedure for fitting an ARMA/GARCH Model

I want to try fitting an ARMA/GARCH model but want a methodological approach rather than fitting different models and picking the best one. However, I'm not sure how to choose my AR and MA terms for ...
2
votes
1answer
2k views

Specifying an ARMA-GARCH model without rugarch

There have been probably hundreds of these posts, but I have yet to see any sort of answer to how to actually go about this. I need to fit a ARMA-GARCH model to my data because I cannot assume my data ...
3
votes
1answer
2k views

ARMA/GARCH estimation in sequence

I have a time series that shows a nonstationary seasonal autoregressive component as well as known heteroshedasticity. In order to model the series, I have fit a seasonal ARIMA model for the mean with ...
0
votes
0answers
2k views

Fitting an ARCH/GARCH Model (Basics)

I have been given a basic task designed to assess my knowledge of ARCH/GARCH modelling, which involves fitting the models on 2 lots of time-series index returns. What are the brief steps I need to ...
0
votes
1answer
952 views

ARMA lag selection for ARMA-GARCH models

When I read this group questions about lag selection for ARMA part of ARMA-GARCH models I found 2 different answers from moderator: The use of GARCH and ARMA GARCH estimation process in practice I ...
2
votes
1answer
926 views

Easy explanation of how to fit a multivariate GARCH model (in Gretl)

I have multiple financial time series data (FX-rates, commodity prices) that have been recorded daily (without weekends) for the past six years and want to analyze their effect/influence on the stock ...
0
votes
0answers
544 views

How to make forecast with confidence intervals with arma-garch model in python?

I have financial time series with non constant variance. I suppose that using ARMA- GARCH i will create more accurate confident intervals for predictions than using ARMA model. This is how i fit model ...
1
vote
0answers
367 views

To fit a GARCH on ARIMA residuals or to fit an ARIMA+GARCH

I am working on time series data and have both conditional mean and conditional variance in the process. My strategy has so far been to fit a GARCH on the residuals of a fitted ARMA model. But then ...
1
vote
1answer
193 views

Simultaneous estimation of ARMA and GARCH components

I am not allowed to comment on older questions relevant to this question, therefore I ask this myself. The question was dealt with here, here and here with a clear result: the ARMA part should be ...
1
vote
0answers
70 views

ARIMA-GARCH parameter estimation [duplicate]

I fitted an ARIMA model on a time series and then did an ARCH-LM Test which shows heteroscedasticity. So I want to get an ARIMA-GARCH model. My question: Do I need to reestimate the parameters of ...
0
votes
1answer
49 views

ARIMA(p,d,q) + GARCH(p,d,q) model

I found an article where they fit an ARIMA(p,d,q) model to a time series and then fit a GARCH(p,d,q) to the residual of the ARIMA (the parameters (p,d,q) are passed as the volatility model lags to ...