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Questions tagged [garch]

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

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Dynamic Conditional Correlation - insignificant correlation parameters

I am trying to get the variance covariance among 4 sectors using DCC in Stata. mgarch dcc (var1, var2, var3, var4=), arch(1/1) garch(1/1) The arch and garch ...
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23 views

R: H is singular

For my thesis I need to estimate BEKK GARCH models. For this I have tried several packages. I keep getting the same error: "H is singular". I have found that this can be caused by highly correlated ...
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R BEKK GARCH H is singular

So I havbe used several BEKK GARCH packages, but I keep getting the same error message: "H is singular". I have taken the Log returns, and also tried to use the scaled log returns (x100). Anyone knows ...
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7 views

Heteroscedasticity in VAR Residuals and Least Squares

If I have a VAR model, think of the simple case with two variables $y_1$ and $y_2$, Vilasuso (2001): says that if the conditional variances of $y_1$ and $y_2$ are correlated, significant size ...
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Is my understanding on how to estimate the parameters in a GARCH model correct?

Assume (for the sake of simplicity) we have observed only $X_1,X_2$ and we want to estimate the parameters of a GARCH(1,1) that tells us the variance of $X_t$ (that is normally distributed) evolves ...
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7 views

Forecasting a DCCGARCH model estimated by the ccgarch package

How can one predict a dcc-garch model in R using parameters estimated from dcc.estimation from the package ccgarch? MWExample: ...
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1answer
27 views

Constraints, bounds, and initialization variables in the GARCH / ARMA-GARCH models

I am interested in the correct way to estimate a GARCH/ARMA-GARCH model. I will refer to the coefficients as: ...
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33 views

stationary vs. non-stationary GARCH process

I estimated a GARCH(1,1) model and the sum of the ARCH paramter alpha and GARCH paramter beta equals 1.7. This points to an undefined unconditional variance and it follows that the conditional ...
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6 views

EViews - How to estimate ACD model?

I was wondering if anyone knows how to estimate an ACD model in EViews. I have an input for the adjusted durations and have been trying to modify the ARCH framework to allow for ACD estimation.
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8 views

Instrumental variables and GARCH

Can you use the predicted value from the first stage (as estimated using 2SLS) to replace the endogenous variable in a GARCH model? Or, what would be a different way of using instrumental variables in ...
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1answer
24 views

Mean Equation Specification using rugarch in R

I fitted a GARCH(1,1) to my 4511 return observations using rugarch in R. Question: Which of these two mean equation specifications does ...
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18 views

Estimation-based bootstrap using GARCH(1,1) and Rugarch

I try to replicate the methodology proposed by Freedman and Peters (1984a, 1984b) which was applied in the famous paper by Brock, Lakonishok and LeBaron (1992) to generate many artificial log return ...
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34 views

Adjusted Pearson Goodness-of-Fit Test - Rugarch Package

I fitted a GARCH(1,1), GARCH-M and EGARCH of first order (using maximum likelihood) to my return dataset using both, Gaussian normal and Student-t distribution assumption for the error term. When ...
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1answer
28 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 ...
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1answer
60 views

Residual Bootstrapp based on GARCH models with student-t distributed innovation

I want to generate 500 simulations of my original return time series. My original return series (n = 4000) exhibits significant serial autocorrelation at lag 1 & 2, is non-normally distributed (...
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25 views

Converting log transformed and differenced time series back into original in R

I have built a Garch model in R based on taking a log transformation and a one order difference on the original time series. I would like to know how develop a forecast based on the Garch model for ...
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2answers
24 views

Can a dummy variable be used to correct ARCH?

Is it possible to use a dummy variable to allow for a structural break, in order to correct Autoregressive Conditional Heteroscedasticity?
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1answer
41 views

Why am I getting an 'explosive' GARCH on this series?

I am fairly new to time series econometrics and I am working with a series I want to model the in-sample second moments. I am not super sure that this is stationary, but I rely on the ADF saying that ...
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1answer
25 views

How can i choose the optimal lag in GARCH-MIDAS?

I have to choose individual GARCH-MIDAS models for some variables. But the BIC value continues to decrease as I increase the lag (its even the case for k=70 and more which is unrealistic) so the BIC, ...
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9 views

GARCH, EGARC, GJR-GARCH EViews

I'm using Eviews to model and forecast volatilities for 6 different stock markets( it's for my dissertation). I found serial correlation in almost every log-return and even after running the GARCH ...
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1answer
21 views

How can I write an asymmetric-BEKK(1,1,1) model

To write a BEKK(1,1) model, I would write something like this, $$H_t=C^*C^{*'}+A_{11}\varepsilon_{t-1}\varepsilon_{t-1}'A_{11}'+ B_{11}H_{t-1}B_{11}' $$ How could I extend this to write the BEKK(1,...
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28 views

GARCH model with t-innovations

I am modelling a time series with GARCH model with t-distributed error using RUGARCH package. My model is specified as: ...
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1answer
19 views

Maximum Likelihood estimator for GARCH with jump (papers on this topic)

Does anyone know a reference to a paper that would show an actual calibration of GARCH(1,1) model with jumps to a historical time series?
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29 views

Can someone help me understand this plot?

I am struggling to understand the outcome of DCC GARCH correlations in this plot. I don't understand how the y-axis points are the same even though the correlations look like they are moving over time?...
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9 views

Multivarite ARCH, which model should I simulate

I am trying to simulate the following model in MATLAB if this helps: I set the k matrix to all 1's and the a matrix is going to be various values. How could I simulate this in MATLAB. I know I ...
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18 views

MLE of an EGARCH(1,1) Model with Gaussian Innovations

I want to estimate parameters of an exponential GARCH(1,1); namely EGARCH(1,1) model using optimization tools at R. However, I don't want to use a ready package like rugarch or an another package. I ...
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24 views

Past observations & Error terms in GARCH and ARMA models

I am a bit confused concerning some of the "underlying concepts" of ARMA & GARCH models. I know that ARMA models are meant to forecast the conditional mean of a process, while GARCH models are ...
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26 views

Estimating and forecasting stock and option prices with GARCH models

I am new in the field of time series. I wonder why there is not enough literature about GARCH models used to predict stock or option prices? In other words, is it reasonable to use a general ...
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47 views

Manuel estimation of a Garch(1,1) parameters using MLE vs rugarch package in R

I want to estimate parameters of a GARCH(1,1) model using rugarch package in R and manually(using maximum likelihood). Firstly, I import and transfrom the data as below(Amazon return data) ...
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16 views

Causality in variance with a BEKK model

I am using a BEKK model in the following form, $$H_t=C^\ast{C^\ast}^\prime+\sum_{i=1}^{m}{A_i\varepsilon_{t-i}\varepsilon_{t-i}A_i^\prime+\sum_{j=1}^{s}{B_jH_{t-j}B_j^\prime}}$$ I first start with a ...
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32 views

Adjusting for ARCH effect in regression analysis

I have the following regression: yt = b0 + b1X1t + b2X2t + b3X3t + e I then saw that e is serially correlated so I modeled the regression with ARIMA errors. However, then I saw that there was an ARCH ...
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30 views

Coding a BEKK multivariate GARCH model

I have the code, but I am struggling to determine which specific BEKK model it is for... Any advice would be appreciated, ...
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59 views

How to implement a SARIMA-GARCH model?

I was reading "Prediction of daily peak electricity demand in South Africa using volatility forecasting models" by C. Sigauke and D. Chikobvu about electricity demand forecasting and I'm interested in ...
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28 views

Using GARCH to model seasonal variance clustering

Question: is it a good idea to model variance clustering in a time series with GARCH when the clusters are seasonal? Details: Imagine that we are given a time series $(x_t)_{t\in \mathbb{N}}$ that ...
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1answer
28 views

Writing a VAR(1) with ARCH(1) errors as a bilinear model?

I have been reading a paper and found this quote? "Note that a linear conditional mean model with ARCH disturbances can be described by a nonlinear specification without ARCH, i.e. the bilinear ...
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27 views

Correcting for ARCH effect in VAR and impulse response results

I find significant ARCH effect in my series when running a VAR analysis $Y_t=(y_{1,t};y_{2,t};y_{3,t};y_{4,t};y_{5,t})^\top$ I have two questions: Does the ARCH effect impact the impulse response ...
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316 views

Using ARMA-GARCH models to simulate foreign exchange prices

I've fitted an ARIMA(1,1,1)-GARCH(1,1) model to the time series of AUD/USD exchange rate log prices sampled at one-minute intervals over the course of several years, giving me over two million data ...
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35 views

Obtaining from scratch the volatility in GARCH model using R?

I'm trying to obtain the same vector of volatility by myself $\sqrt{h_{t|t-1}}$ of a Garch Model, that I obtained "automatically" using the function "ugarchfit" from the package "rugarch". So after ...
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1answer
31 views

Starting values in numerical algorithms?

I am estimating an ARCH(1) model, not to difficult apart from one small problems, which starting value should I use for the estimation. I am estimating it long hand, so understanding the minor details ...
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40 views

Should I use weekly or daily returns for modelling FX returns?

I am currently modelling Foreingn Exchange returns using a GARCH model. I am simulating returns 1-year forward. Would it be better to use weekly or daily data on Foreign Exchange returns? Weekly data ...
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13 views

How should I interpret a non significant intercept in a GARCH model? [duplicate]

I am currently building a model based on a GARCH process. You can find a quick description of how the variance is modelled below. $\sigma_t^2 = \alpha_0 + \sum\limits_{i=1}^{n} \alpha_i \epsilon_{t-...
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20 views

How can you test dependence for non-Gaussian standardised residuals?

Let's say you fit an ARMA-GARCH model to financial data and find that the standardised residuals are non-Gaussian through the Kolmogorov-Smirnov test. These residuals have mean -0.002 and standard ...
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14 views

Homoskedasticity of the residuals

When, I fit an ARMA model to data, I look at the standardized residuals plot to assess if they behaves like uncorrelated random variables with zero mean and costant variance (if the model is good). ...
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0answers
61 views

Strange rugarch error: $ operator invalid for atomic vectors? [closed]

So, I am trying to make a huge nested for loop (optimizations be left for later) to fit all of the GARCH models available from rugarch. This is my MLE that ...
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1answer
48 views

Principles behind time-series forecasting intervals

So, this is truly a bit of a general question, but I am not aware of the guiding principles (if there are any) behind forecasting intervals. For whatever time-series model one might be using, whether ...
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64 views

What's the variance of an AR(1)/ARCH(1)

The main question is: an AR(1)/ARCH(1) process has the variance of the ARCH(1)? I've tried to compute the unconditional variance of an AR(1)/ARCH(1) model, so an AR(1) in which the noise is modelled ...
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26 views

Does it make sense to run a SARIMA model and then a ARCH(0,0)-GARCH(1,1) model on residuals?

It was tough to write the question in a simple manner. A time series I am working with follows a seasonal ARIMA model. In my software I cannot jointly estimate a SARIMA and a GARCH(1,1) model. Is it ...
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40 views

Returns correlated, but squared returns not correlated [closed]

I'm trying to apply a GARCH model to a financial time series, and as usual I plotted the ACF and PACF of both returns and squared returns. In my time series the returns show serial correlation, but ...
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20 views

ARCH testing and Stationarity

I have a time series y and I need to build the "best" autoregressive model for it i.e. y(q*). What I do: 1. Start with y(1) and test for serial correlation in the errors until I find an AR lag -lets ...
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29 views

AR(1)-GARCH(1,1). A bad fit with log likelihood?

Consider these two DCC models: ...