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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 ...
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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 <...
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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 * ...
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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 ...
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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(...
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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 (...
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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 ...
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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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Contradictory results when estimating GJR-GARCH(1,1) with rugarch package

I am using financial stock data (1588 observations, daily returns) to estimate a GARCH(1,1) and a GJR-GARCH(1,1) model. A GARCH(1,1) takes the form: $\sigma_t^2 = \omega+\alpha_1 a_{t-1}^2+\beta_1\...
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Forecasting volatility from serially uncorrelated (squared) returns

I am trying to estimate future volatility based on historical stock price data, using (G)ARCH models. I have computed the ACF and PACF of returns and squared returns, and none of them show signs of ...
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How to do a post estimation of BEKK-GARCH?

How to do a diagnostic check for BEKK-GARCH estimation? Should we check GARCH effect in the residuals and decide from that because variance residuals and mean-variance of residuals are given in the ...
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Can you compare two time series using the same GARCH model

Hi so I’m looking at how a company investing in Bitcoin changes the volatility of that stock (Tesla, MicroStrategy etc) in short, it doesn’t. I’m pretty new to modelling etc so I’m just wondering can ...
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Realized GARCH estimation problem

I'm trying to produce one-day ahead volatility forecasts for Bitcoin with Realized GARCH(1,1) using the rugarch package in R. The realized variance(...
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Realized variance/volatility as input in Realized GARCH model

I want to produce one day ahead volatility forecasts with Realized GARCH(1,1) using the rugarch package in R. I've defined the realized variance (RV) as the sum of ...
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Can the GARCH model predict other things than only volatility?

I was reading that ARIMA models are used to model the mean whereas GARCH models are usually used to model the conditional variance (i.e. volatility). Is it possible that the GARCH model can somehow be ...
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How to compute realized volatility

I am provided with a dataset consisting of an open book and a trade book The open book data has the following columns: Bid price/size 1 Bid price/size 2 Ask price/size 1 Ask price/size 2 time id ...
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How to calculate 1-step ahead volatility for IGAARCh(1,1)

I need some pointers to solve this question? Any help is appreciated.
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DCC interpretation

I am using 6 types of financial assets, where I first estimate a DCC using the rmgarch package in R. I start with estimating a DCC where all of the assets are ...
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What are the differences between different volatility models?

I would like to understand the differences between different volatility models like in simple terms and what are pros and cons over the other models Local volatility Model(Dupire) Heston Model SABR ...
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Volatility forecasting using MLP

I am currently working on a project which aims to predict the Monthly volatility of the S&P 500 index with the aid of Multilayer Perceptrons (MLP). Actually, I am trying to reproduce some of the ...
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How to calculate volatility using ARCH and GARCH model

I'm conducting a thesis about the impact of COVID-19 to stock market.. I use the ARCH and GARCh model to compare the volatility of the stock market during the pandemic. I also use the dummy variable ...
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volatility of variables in data sample

I have the following statistical issue. I measure the employment change for occupations across sectors and time. I define two time spans, one is the expansionary period and one a crisis. Moreover, I ...
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The Nonlinear Asymmetric GARCH Model

I'm reading about the Nonlinear Asymmetric GARCH (NAGARCH) model. If NAGARCH(1, 1) is given by: $${\displaystyle ~\sigma _{t}^{2}=~\omega +~\alpha (~\epsilon _{t-1}-~\theta ~\sigma _{t-1})^{2}+~\beta ~...
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Out-of-sample MSE and MAE for volatility forecasting [duplicate]

I have been searching through the whole CrossValidated but couldn't find the answer. I want to test out-of-sample the volatility forecasts (if it means something ARCH-like ones, MSGARCH, Multifractal ...
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Calculating $\mathbb{E}^2(\sigma_t^2)$ where $\sigma$ is a GARCH(1,1) process

Given that $\alpha=0,113079$, $\beta = 0,873884$, $\omega = 0,0000081$ (and that $\text{kurtosis} = 235$), I need to calculate a call price using GARCH volatility: https://www.researchgate.net/...
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GARCH simulation in-sample results make no sense

Idea is to simulate two different garch models with different parameters and later to take loglikelihood of separate models as well as of the concatenation. I wanted to make working example of the ...
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ARCH: How is Volatility Formulation rewritten as Residuals Formulation

I am trying to understand the concept of ARCH(1) model from this tutorial video. From 4:15, it's explained that, the variance of residuals (1) can be formulated as (2). ( = residual at t, =variance of ...
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Why are ARCH/GARCH discussed like they predict the time series value itself instead of residuals?

I am fairly new to time-series analysis, I am trying to learn ARCH/GARCH models. My understanding is that ARCH/GARCH models try to predict the residuals (difference between an observed value from DGP ...
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What are parametric conditions?

My dissertation supervisor asked me to explain further the following question for a GARCH model: "what are the alpha's and the beta's and what are their parametric conditions, and what do the ...
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Estimating stochastic volatility shock for TFP

I am trying to estimate a stochastic volatility shock for Total Factor Productivity (TFP) in a similar way to Fernandez-Villaverde and Rubio-Ramírez (2010) and Fernandez-Villaverde et al. (2011). $$...
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In a GJR model, is there any interpretation attributed to half of the asymmetry parameter?

I'm reading this paper by Abosedra et. al (2006), where they study the volatility of US natural gas prices. They report the estimation from a AR(1)-GARCH(1,1) model and a AR(1)-GJR-GARCH(1,1) model as ...
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Rolling fixed window scheme for GARCH forecasting

I'm working on my bachelors thesis which mainly revolves around this paper: https://www.mdpi.com/2225-1146/4/1/3/htm Shortly after describing the dataset in 3.1 the authors mention that they use a ...
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Modelling the Conditional Variance in a Panel Setting

I am familiar with ARCH-type models to estimate the conditional volatility of some variable of interest in a univariate setting. I know that there also exists the concept of multivariate ARCH-type ...
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Should I include AR, MA, or ARMA in my DCC(1,1)GARCH(1,1) approach?

I know an AR, MA or generally speaking an ARMA term is included for the mean. I however can not find how to determine this for my specific application. Is there any information that can be derived ...
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Probability on different time scales

I just finished reading "Fooled by Randomness" by Nassim Taleb. He, inter alia, gives the following example to prove one of his points: A 15% return with 10% volatility per annum translates ...
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Out of sample ARCH forecast

I have estimated a conditional mean model for a time series: $ x_t = x_{t-1} + \epsilon_t$. Say I have estimated it using periods 1 to 10. I can do an out of sample conditional mean forecast by ...
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Expected Value of an ARMA-GARCH Model

An ARMA(p,q) model is given by $ \qquad \qquad Y_t = c + \sum\limits_{i=1}^{p}\varphi_iY_{t-i}+\sum\limits_{i=1}^{q}\theta_i\varepsilon_{t-i} + \varepsilon$ with $\varepsilon_t \sim N(0,\sigma^2)$. ...
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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
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Check if volatility of series is significantly different

Is there a possibility to check if the difference in volatilities computed from different time series of returns is significant? Which hypothesis test might be good here?
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ARCH coefficient in GARCH models

Is anyone knows to interpret ARCH Coefficient in GARCH Models ? I tried to find what is ARCH Coefficient means. Some says it's for detecting Spillover effect, Some says Volatility Clustering or ...
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