# Questions tagged [volatility]

A statistical measure of the dispersion of a (financial) time series, e.g. its (annualized or regular) standard deviation

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### What model for volatility spillover effect in R? [closed]

I am doing research to study the volatility spill[over] effect. I have time-series data of Indonesian stock price (Jakarta composite index or JKSE), an exchange rate (IDR/USD), and oil price (BRENT). ...
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### python arch lib incorrect conditional volatility values, while tgarch and gjr garch vols are correct

Somehow when I estimated a GARCH model using arch.arch_model, its resulting conditional volatility took values that are not correct (around 12, cf picture). I did the exact same process for GJR GARCH ...
32 views

### Estimating volatility (historical volatility), with the aim to understad how volatile recruitment was in the sectors of my dataset [closed]

I have the following hypothtical (reproduciable dataset) and am seekign to understand/estimate how volatile recruitment was for the period 2019-2020 ie estimating volatility in the recruitment sectors ...
1 vote
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### Which raw data to include for heterogenous autoregressive (HAR) model

I constructed the realized variance of bitcoin returns per day from 8-10-2015 to today. The realized variance is calculated by taking the cumulative squared intra-day returns. 5-minute high frequency ...
46 views

### Forecasting using Copula GARCH methods

I need to replicate what Huang and al (2009)* did without using built-in functions in R. What I'm struggling with is how to forecast returns for my two data samples. I've found the GARCH specs and ...
1 vote
32 views

### ACF and volatility clustering

Can someone explain me the interpretation of volatility clustering from ACF of the absolute returns? I got two graphs of ACF of the absolute returns (first one for daily returns, second one for weekly ...
1 vote
34 views

### Error when forecasting volatility with GARCH model in R [closed]

I am trying to forecast volatility on four different time series which is returns of SP500, Nasdaq 100, Dow Jones and Russel 2000. the four time series consists of 3259 observation and is divided into ...
119 views

### egarch using rugarch package in R

Hello. I have been trying to wrap my head around GARCH (via rugarch package) for the past week and been trying to mimic the numbers as shown at vlab nyc's website. I have not confirmed where they get ...
1 vote
48 views

### How to determine whether to model GARCH effects over ARCH effects?

Based on my understanding, we could determine whether or not to include ARCH effects, by checking the residuals of the mean corrected model (EX: ARMA model). I know the difference between GARCH ...
1 vote
18 views

### ARSV model estimation with (constrained) generalized method of moments in R

I am trying to perform the estimation of the following Autoregressive Stochastic Volatility model $$y_t=\sigma_t u_t = exp(w_t/2)u_t \\ w_t = \omega + \phi w_{t-1} + \eta_t$$ in R via the function <...
31 views

### MinCovDet confusion

Consider the following experiment: look at Bitcoin prices for the last several years, then try to estimate the volatility, in the following two ways. Empirical trailing variance (of log returns) over ...
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### Can we calculate the standard deviation of a large number of average data?

I am calculating the Value at Risk (VaR Formula=Deposits Initial balance * Volatility of deposits (standard deviation of returns of the deposits) * Critical Value of a probability distribution * ...
84 views

### Long-Run Variance LRV for TGARCH and GJR-GARCH

As LRV calculation from GARCH parameters is on annual basis: $$LRV = \frac{\omega}{1 - \alpha - \beta} \cdot 252$$ I wonder if it's not a composition of unconditional variance divided by the model ...
460 views

### Why is GARCH offering no predictive value?

I am playing around with GARCH models for the first time (I have a stats background but basically no experience with GARCH), trying to forecast volatility in a financial time series. I trained a GARCH(...
1 vote
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### Standard Deviation shows that a price series is riskier but annualized volatility computed with the log of returns shows the opposite

I apologize if this is not a smart question, but it seems contradictory that the standard deviations of two price series show that series A is riskier, but when I plot the annualized volatilities (...
1 vote
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### A Markov Regime-Switching GARCH with Time-Varying Transition Matrix Package in R

Does anyone know if there exists any Markov regime-switching GARCH with time-varying transition matrix package or tutorial in R? I know of the "MSGARCH" package by D. Ardia et al. but the ...
35 views

### How to measure volatility of a categorial variable?

I have a variable that is a rank of 6 categories though 12 months. The categories are S, A, B, C, D, and E. Where S is best and E is worst. The variable can change overtime, for example one ...
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### How should I interpret the output of CGARCH Model in Eviews? C3, C4, C5, C6 and C7

I am trying to understand how I should interpret the coefficients of CGARCH model. My topic is related to stock market volatility
1 vote