# Questions tagged [garch]

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

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9 views

### Robustness Statistics on Time Series

For my thesis I'm working with 10 different time series datasets on the volatility of FX options. I applied event-study methodology and worked with the GARCH method, looking for announcement effects ...
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### interpreting the results of CCC-GARCH model in R using ccgarch2 package

Does anyone know how to interpret the results for the ccc-garch using ccgarch2 package? and how do I know if the model is suited to my data?
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### GARCH (1,1) - stationarity in case of insignificant alpha?

the questions are about GARCH-t (1,1) [t-distribution]. The first question in GARCH-t (1,1) model, the alpha (ARCH) is insignificant. How to rewrite the model? The second one, in case of ...
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### ARIMA GARCH NAGARCH model invertibility conditions

According to ARIMA model and GARCH model whose terms are in linear form, we can insist on invertibility conditions involving coefficients. But for instance in nonlinear asymmetric GARCH model(NAGARCH) ...
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### QML vs MLE for GJR-GARCH models

I am writing my master's thesis and using a AR(1) GJR-GARCH(1,1)-EVT-Copula model on my data. One of the main papers I use is McNeil & Frey (2000), in which they only do AR-GARCH-EVT. In this ...
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### Squared Residuals vs. Variance of Residuals (ARCH)

I understand the intuition behind finding autocorrelation between the squared residuals to test for time conditional heteroskedasticity, but does $\epsilon^2$ really show $Var(\epsilon)$? One ...
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### ACF Plot - sinusoid appears after 1st order difference - dissapears after 2nd order difference

I have a dataset of stock prices and wanted to make it stationary. I did a difference using lag 1 and then did the difference again using lag 1. After the first differencing the Augmented Dickey ...
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### Are conditional mean in an AR(1)-GARCH(1,1) equal for different GARCH(1,1) processes of the same data?

I have created a Markov-Switching GARCH model, where the volatility is defined to be switching between two different GARCH(1,1) processes. The data is assumed to have zero mean, where the data is ...
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### Two implementations of GARCH(1,1) yields equal coefficients but different residuals in R

I am currently working on my master thesis which investigates on the volatility of the GBP (EUR/GBP & GBP/USD) due to the Brexit announcements. Therefore to do so, I use a GARCH(1,1) model with ...
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### 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 ...
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### ARIMA requires constant variance, so why can we use GARCH for its residuals?

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 ...
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### 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 ...
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### 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 ...
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### 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, ...
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### 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 ...
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### 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.
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### 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....
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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 ...
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### 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) ...
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### 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 ...
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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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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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### 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 ...