# Questions tagged [garch]

A model for time series in which the conditional variance is time-varying and autocorrelated.

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### On assumptions of local projection method

It is well known that Jorda(2005) proposed the following model called local projection: $$y_{t+h} - y_{t-1} = \beta_h shock_{t} + \gamma_h ctr_{t-1} + \epsilon_{t,h}, h = 0,1,2,\dots,H.$$ I am trying ...
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### Understanding Volatility Clustering: Conditional or Unconditional Variance?

A stylized fact observed in financial time series is volatility clustering. Volatility clustering is commonly described as the fact that large changes in asset prices are followed by large changes, ...
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### Dependence in ARCH empirical residuals

Suppose $R_1, R_2, \dots, R_T$ are observed values of ARCH(1) process ($R_i = \sigma_i z_i$). I then estimate ARCH(1) parameters $\hat{\omega}, \hat{\alpha}$ and calculate empirical standardized ...
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### How to calibrate and simulate a copula-garch model in R using rmgarch package

So I have been trying to calibrate and simulate cryptocurrencies for VaR and ES analysis using the rmgarch package in R. I have been using the t-copula, my reason being that cryptocurrencies' ...
1 vote
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### GARCH diagnostics via standardized residuals: interpreting my findings

I have fit a GARCH(1,) model in Python, assuming the residuals are $t$ distributed. I am checking the standardized residuals. ARCH and Ljung-Box tests don't reject the null hypothesis. However, I am ...
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### standardized residuals GARCH

I am having a hard time understanding ACF and PACF. I estimated a GARCH(1,1) model and now I am checking its standardized residuals. This is what I get: I can not really understand why the lag 0 has ...
• 151
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### What aspects should I test from a fitted GARCH model?

I estimated a GARCH(1,1) assuming that the residuals follow Student-$t$ distribution. ...
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1 vote
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### An ARMA model with white noise errors, that are ARCH? (How is that possible?)

First my assumption was that ARMA models take only the autocorrelation of the time series into consideration but not of the error terms (wrong!). But this assumption is wrong! As the within ARMA ...
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### ANOVA of Returns and Volatilities forecast

In my GARCH(1,1) model simulations, I generated (based on two different distribution assumptions) returns and conditional volatilities for 8 stocks across 3 scenarios over a 20-day forecasting period. ...
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### How to predict residuals using ARCH model

I have been reading about the autoregressive conditional heteroskedasticity (ARCH) models and they seem amazing. I Understand that the model captures the volatile of the variance of residuals. However,...
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### Calculate price forecasts from forecasted returns

I have a question which makes me so hurt. Let's have a price time series $y_{t}$ for the same asset (for example, daily S&P 500 values) $y_{t}$ It can be trendy (trend stationary or difference ...
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### Normalization of Time Series for GARCH

It is generally observed that financial times series is not normally distributed. So I want to clear the following doubts: Is it necessary to normalize time series data especially before proceeding ...
1 vote
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### Is it possible average an information criterion across models?

Is it possible to take the average of information criterion like the AIC? For my model comparison, I have 24 different models. I use 4 different GARCH models each with 6 different distributions for ...
1 vote
77 views

### Residuals in GARCH (1,1) is the same as the original data

I am trying to fit a GARCH(1,1) model using the rugarch package. When I use residuals to extract the residuals, I find the data ...
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### MCMC predict volatility with GARCH

This is using MCMC (MH) algo to predict volatility from GARCH model: https://www.oreilly.com/library/view/machine-learning-for/9781492085249/ch04.html For simplication, consider (0,10)-GARCH (only ...
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### BEKKS package in R. Are you supposed to feed residual of a mean equation model into the BEKK.fit or the return series?

I am trying to use the BEKKs Package in R. For context, my plan is to fit a VAR model of index prices to obtain the residuals. Then feed the residual into the BEKK.fit function. However, I am not sure ...
54 views

### Likelihood function of VAR-MGARCH-BEKK model?

I am doing my dissertation on the spillover effect between countries' markets and looking to use VAR-MGARCH model to do it. For example how would a change/shock of US market index affect Thailand ...
1 vote
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### Fast algorithm of ARIMA-GARCH model selection

I use ARFIMA(p, x, q)-GARCH(P, Q) models for time series forecasting and when I calibrate models for selection the best via BIC criteria, I use "slow" approach when I calculate BIC for every ...
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### How to Implement Newey-West covariance matrix properly for MDE estimation

I am trying to implement the MDE method for GARCH given by Baillie and Chung '01 (Estimation of GARCH Models from the Autocorrelations of the Squares of a Process, Jrl. of Time Series Analysis) but I ...
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### using the GARCH model, the result of 10 forecasting values are (erroneously) equal. Any suggestion?

I am currently facing a problem with my GARCH model, specifically with the forecasted results. It appears that all the forecasted values are turning out to be identical, which leads me to suspect that ...
44 views

### Why the result of forecasting GARCH being constant?

I am new to researching modeling and forecasting using the GARCH model. So I am still confused about the result that I get. I forecast stock return volatility using Eviews. The best ARIMA model in my ...
43 views

### Bayesian variant of Ljung-Box test?

I am using Bayesian MCMC estimation methods for GARCH models and I want to check, if model residuals are uncorrelated. In classical frequentist approach, one would use standard Ljung-Box test to check ...
333 views

### Interpreting test results for ARCH effects in ARIMA model

I would like to ask you, how to correctly interpret different results for different number of lags in arch.test (R)? We reject the null hypothesis (homoscedasticity)...
1 vote
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### How to implement Girardi & Ergun's (2013) three-step multivariate GARCH estimation of CoVaR in R?

I'm trying to calculate multivariate GARCH estimation of conditional value-at-risk, by adopting a three-step model from Girardi & Ergun (2013) paper entitled "Systemic risk measurement: ...
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1 vote
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### GARCH (sGARCH) with ARFIMA (ARIMA) model in Rugarch equation formula output

Could you please help to write down the exact equation? It is clear for Garch part but not clear how to add ARFIMA (1,0,1) or here just ARMA(1,1) in model equation specification. Should we also type ...
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### How to compare the performance of a volatility forecast like GARCH (1,1) with exogenous variables (MSE?)

I want to investigate, weather financial news have an influence on the volatility prediction of asset returns (daily data) when including them into the variance model/mean model. I have fit a GARCH/...
207 views

### Unconditional variance of MA(1)-GARCH(1,1) process

Let $y_t = \Delta{p_t}$ denote a time series of asset log-returns, where $p_t$ are logarithmic prices; $y_t$ is generated by the conditionally heteroscedastic MA(1) process \$y_t = \epsilon_t + \theta \...
1 vote