Questions tagged [garch]
A model for time series in which the conditional variance is time-varying and autocorrelated.
1
vote
0answers
15 views
Patton's Symmetric Joe-Clayton copula
I am currently trying to apply Patton's Symmetric Joe-Clayton Copula, described in his "Modelling Asymmetric Exchange Rate Dependence". I am currently looking for the closed-form relation (if there is ...
0
votes
1answer
29 views
ARIMA GARCH model
According to what I have found so far, in order to implement ARIMA we need to have a stationary (constant mean and variance) transformed data set. In addition, I have also seen that the square of the ...
1
vote
1answer
29 views
Home-brewing GARCH implementation
Motivation
I want to wrap up my own GARCH implementation
to make sure I have understood the underlying model/assumption.
to leverage forecast::auto.arima to ...
-1
votes
0answers
24 views
ARIMA-GARCH MODEL STEPS [closed]
Could you tell me which steps (such as first stabilize variance using which method afterwards make mean stationary using which method) I need to take into account to obtain relevant ARIMA-GRACH model ...
2
votes
1answer
21 views
Standard BEKK parameters
I am looking at a BEKK Multivariate GARCH model.
In a standard GARCH model, we generally expect,
$$h_t=\omega+\alpha u_{t-1}^2 +\beta\sigma_{t-1}^2$$
The alpha ($\alpha$) coefficient to be ...
0
votes
1answer
17 views
Standardized residuals GARCH models
Lets say I have a GARCH(1,1) model,
First, I model the conditional MEAN,
$$Y_t=\delta+\beta Y_{t-1}+\varepsilon_t$$
NextI gather the residuals $\varepsilon_t$ and model the conditional variance,
...
0
votes
0answers
7 views
Minimal number of obs for BEKK(1,1) and DCC GARCH
For my thesis I am using a rolling regression to estimate the BEKK(1,1) and DCC GARCH parameters and their corresponding confidence intervals.
There is literature on the minimal number of ...
1
vote
1answer
19 views
F test (joint significance) for two parameters
I want to test for the joint significance of two parameters (dcca1 and dccb1) estimated from a multivariate DCC GARCH model. does anyone know how to do it using R? any help is greatly appreciated.
1
vote
0answers
17 views
fitting high dim copula to residuals of a garch model very slow in R [closed]
I'm looking for some help on understanding on the fitting procedure of a normal (or any other for that matter) copula in R. My main goal is to either improve computational speed, or revise my strategy....
0
votes
0answers
35 views
Variance of (ARIMA/GARCH) [closed]
I want to find the analytical expression of the conditional variance of the ARIMA-GARCH model.
Variance (Yt)=?
where Yt has been modeled by ARIMA/GARCH combined model. It means that the mean and ...
1
vote
1answer
78 views
Estimating When A Time Series with Random Spikes Crosses a Threshold for the First Time
tl;dr Is there a way to estimate when a random spike in a time series would cross a threshold for the first time?
The following is data of my performance in the game Super Hexagon, whose goal is to ...
0
votes
0answers
42 views
auto-correlation of squared residuals after fitting GARCH model
Hell, I'm completely new to R and am not experienced in statistics but I got some stock price data and tried to fit an ARIMA+GARCH model. I'm a little confused because as the title suggests, I looked ...
1
vote
0answers
22 views
How to compare and select the better GARCH model?
I am reading this article which is talking about a GARCH trading strategy. I follow the steps and tried different parameters like window size (stock historical data). From the back test, I can see ...
4
votes
2answers
114 views
What's the point of (G)ARCH when you can square the residual and use ARMA?
I'm taught that
$$
\begin{equation}
\begin{aligned}
X_t \sim \text{ARCH}(p) & \rightarrow X_t^2 \sim \text{AR}(p) \\
X_t \sim \text{GARCH}(p, q) & \rightarrow X_t^2 \sim \text{ARMA}(\max(p, q)...
1
vote
0answers
48 views
Volatility forecast with GARCH(1,1)
I am having trouble with this question:
$Y_t = \sigma_t \epsilon_t$
$\sigma^2_t = 0.003+0.41Y^2_{t-1}+0.53 \sigma^2_{t-1}$
and I am given that $\sigma^2_T = 0.01$ and $Y_T = 0.2$.
I am asked to ...
0
votes
0answers
6 views
gogarch package
I have read the description to gogarch package, but i don't understand the function of external.regression option in that package.. How it is working ? could you give an example?
...
1
vote
1answer
25 views
Probability Integral Transforms (Not getting U(0,1))
I am trying to transform my GARCH standardized residuals to PITs in order to use them in a copula. The following code has been so far applied:
...
0
votes
0answers
28 views
Portfolio Value at risk (VaR) with DCC Garch model in R
Hello respected members,
I need your help to forecast portfolio VaR for 3 assets(returns) with the help of DCC Garch model in R. I have done the following steps as you can see from my codes also,
1) ...
3
votes
0answers
38 views
Need for existence of stochastic processes behind models of conditional variance
Background
Michael John McAleer with coauthors has in multiple articles (2013, 2019a, 2019b and other) criticized the BEKK, DCC and VCC sorts of multivariate GARCH models on the grounds that there is ...
0
votes
1answer
44 views
ARMA/GARCH estimation with standard errors
I want to estimate the parameters and standard errors of the following ARMA/GARCH model:
$$y_t = a + by_{t-6} + cy_{t-8} + d\epsilon_{t-1} + \epsilon_t $$
$$\sigma^2_t = \omega + \alpha \epsilon_{t-1}^...
0
votes
1answer
45 views
GARCH(1,1) volatility forecast looks biased, it is consistently higher than Parkinson's HL vol
I am trying to create one-step ahead forecasts for the S&P500 using a GARCH(1,1) model. I am using the rugarch package in R.
As you can see, the forecasted points are consistently higher than the ...
2
votes
0answers
28 views
Can I use ARMA instead of GARCH?
I am a beginner to econometrics and STATA, so I would like to apologise if this is a bad question, but have accidentally dwelled down into volatility modeling. I have come to understand that the ...
0
votes
0answers
23 views
Question regarding GARCH modeling using RUGARCH package in R
I have 2 questions regarding ARMA-GARCH modelling using rugarch package In R
Question 1
This may be an elementary statistics question . But i couldn't find out a way to do this. I have simulated ...
0
votes
1answer
28 views
AR(k)-GARCH(1,1) model. Why am I getting same Log-likelihoods and AICs?
I am trying to for loop an AR(k)-GARCH(1,1) model, however it seems that I am getting same log-likelihoods and AICs. I believe that my code is fine, since I manually checked the iterations. Is there ...
2
votes
2answers
51 views
Fitting a GARCH model and forecast using validation set approach In R
I have seperated the data into training and testing data. Then I fitted this simple garch model for training data as follows,(using rugarch package)
...
0
votes
1answer
13 views
How can I see if a variable such as a lag in a stata regression for a GARCH/ARCH model is statistically significant?
If I was to look at data such as what I have posted here, how would I interpret it to model arch or garch. Which lags would be statistically significant and how does the datatset show this. Sorry for ...
0
votes
0answers
24 views
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 ...
0
votes
0answers
35 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 ...
0
votes
0answers
29 views
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 ...
0
votes
0answers
9 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 ...
1
vote
1answer
56 views
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 ...
0
votes
0answers
10 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:
...
0
votes
1answer
31 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:
...
1
vote
0answers
58 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 ...
0
votes
0answers
7 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.
1
vote
0answers
10 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 ...
0
votes
1answer
33 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 ...
0
votes
0answers
47 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 ...
1
vote
0answers
45 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 ...
0
votes
1answer
33 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 ...
2
votes
1answer
68 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 (...
0
votes
0answers
76 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 ...
0
votes
2answers
28 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?
0
votes
1answer
43 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 ...
1
vote
1answer
33 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, ...
0
votes
0answers
15 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 ...
1
vote
1answer
22 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,...
1
vote
0answers
39 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:
...
0
votes
1answer
20 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?
0
votes
0answers
30 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?...
