All Questions
8 questions
5
votes
2
answers
6k
views
On forecasting, the mean squared error and realized volatility
Say one has finished estimating a correctly specified GARCH(1,1) on a daily time series and now wants to evaluate the accuracy of the one step ahead forecasts what steps or tests could one do?
I ...
- 1,465
11
votes
2
answers
3k
views
Has anybody ever found data where ARCH and GARCH models work?
I'm an analyst in financial and insurance fields and whenever I try to fit volatility models I obtain awful results: residuals are often non-stationary (in the unit root sense) and heteroskedastic (so ...
- 165
8
votes
2
answers
3k
views
Bootstrap sample with size greater than the original sample
I want to predict future returns over a 20 days horizon using an ARMA-GARCH model fitted to my data.
The goal is to estimate different risk measures like VaR or CVar.
In particular say I use AR(1) ...
- 1,270
5
votes
1
answer
2k
views
GARCH estimates differ in rugarch (R) vs. EViews
I modelled a stock's volatility using the "rugarch" package in R and Eviews.
The estimated model is GARCH(1,1).
Data is as below:
...
- 699
3
votes
1
answer
1k
views
Expression for the unconditional variance in the EGARCH model
Given the EGARCH specification:
$\log(\sigma_t^2)=\omega + \alpha(|z_{t-1}| + E[|z_{t-1}|]) + \gamma z_{t-1} + \beta \log(\sigma_{t-1}^2)$
Is it possible to find a closed-form solution for the ...
- 155
2
votes
1
answer
7k
views
Forecasting with ARIMA and GARCH: does my plan look alright?
I have a time series containing the daily close price for a stock and I would like to perform a 10 days forecast of the volatility.
I'm trying to follow this tutorial: https://talksonmarkets.files....
- 3,219
0
votes
1
answer
2k
views
DCC GARCH - specifying ARCH and GARCH parameter matrices in Stata
The command in Stata to estimate the DCC model of two variables is:
mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t)
$$
\begin{bmatrix}
h_{...
- 253
0
votes
1
answer
71
views
Using the normal errors formula, find an iterative equation that predicts the variances of a GARCH(1,1) model
As the above states, I need to find an iterative equation that predicts the variances of a GARCH(1,1) model. Here's how I started:
Let's suppose that we have $h$ as our forecast origin. We know that ...
- 111