All Questions
Tagged with volatility garch
154 questions
2
votes
0
answers
33
views
How Are The Initial Value of Conditional Variance Calculated in rugarch Package?
I am trying to verify the calculations of my zero-mean GARCH(1,1) model using the rugarch library. At first I thought the initial first value of the conditional ...
1
vote
0
answers
14
views
What are the pros and cons of using multivariate Filtered Historical Simulation with univariate GARCH models compared to a GARCH-DCC approach?
I am assessing the market risk of an equity portfolio and have come across an example in the MATLAB documentation that uses a multivariate Filtered Historical Simulation technique:
https://it....
- 363
2
votes
0
answers
48
views
Understanding Volatility Clustering: Conditional or Unconditional Variance?
A stylized fact observed in financial time series is volatility clustering. Volatility clustering is commonly described as the fact that large changes in asset prices are followed by large changes, ...
- 1,465
1
vote
0
answers
116
views
Manual maximum likelihood estimation of realized GARCH behaving poorly
I'm trying to estimate the maximum likelihood of a realized GARCH model. Below are the equations and the parameters I want to estimate
I'm using the below function to maximise the likelihood, but it ...
- 23
0
votes
0
answers
29
views
Deriving the multivariate asset returns model and interpreting cholesky factorization
I am trying to understand the multivariate asset returns model for a portfolio of assets from chapter 4 DCC-GARCH of Orskaug "Multivariate DCC-GARCH Model With Various Error Distributions" (...
- 294
2
votes
1
answer
83
views
Loss function for volatility forecasts from GARCH
What are the options for loss functions, when trying to compare the volatility (sigma) forecasts from different GARCH models? I was thinking about the Qlike function but am not sure if this would give ...
- 703
1
vote
1
answer
32
views
How to interpret the differences in estimated variances?
I estimated the variance of Bitcoin in several ways using the var command in R, and within a GARCH model. I get series that look a bit similar, but the y-axis gives ...
0
votes
1
answer
231
views
How to interpret DCC GARCH alpha and beta (dcca1 and dccb1 in R)
I have just run a DCC GARCH model in R and am trying to interpret the output. I have run the model with 3 time series. I know that alpha and beta tell about the short- and long-term spillover effect. ...
- 1
0
votes
0
answers
47
views
Exogeneity of volatility shocks in Local projection model
I want to estimate the impact of volatility shocks on cross-assets spillovers. I have series of spillovers, and I want to use a Local Projection model, and the volatility of some financial assets ...
0
votes
1
answer
54
views
Why the result of forecasting GARCH being constant?
I am new to researching modeling and forecasting using the GARCH model. So I am still confused about the result that I get. I forecast stock return volatility using Eviews. The best ARIMA model in my ...
- 1
0
votes
0
answers
109
views
How to compare the performance of a volatility forecast like GARCH (1,1) with exogenous variables (MSE?)
I want to investigate, weather financial news have an influence on the volatility prediction of asset returns (daily data) when including them into the variance model/mean model.
I have fit a GARCH/...
- 11
2
votes
1
answer
138
views
Testing if volatility increases during ECB-Monetary Press Releases
I'm currently writing a thesis where I am trying to disect the ECB monetary press releases and their impact on the European stock market. I am using an event study methodology. Computing Daily Excess ...
- 23
1
vote
1
answer
445
views
GARCH model analysis using python
I have an AR(3)-GJR-GARCH(2,2,2) model. How can I test the presence of ‘leverage effects’ (i.e. asymmetric responses of the conditional variance to the positive and negative shocks) with 5% ...
- 31
3
votes
0
answers
71
views
VaR from Bayesian GARCH / Quantile Estimation
I have fitted a Bayesian GARCH(1,1) model with Student $t$ innovations to some time series data, $X_1,...,X_n$ and now want to estimate Value-at-Risk (VaR) (i.e., 5% quantiles) at each times $t=1,,...,...
- 31
1
vote
0
answers
224
views
Forecasting the conditional variance of AR(p)-GARCH(1,1) model
How can I derive forecasting formula for the conditional variance $h_{t+k}$, $k\geq1$ for AR(p)-GARCH(1,1)?
- 65
0
votes
1
answer
161
views
Calculate the daily standard deviation for time series (stock market) in R
I´m modeling with diffrent GARCH-Models the daily standard deviation of a stock market. That includes a rolling forecast model of the daily standard deviation. This works pretty well so far.
To ...
0
votes
1
answer
339
views
ARIMA vs GARCH: Why ARIMA can't be used to model volatility/variance like GARCH?
We can take the variance series and apply ARIMA model on it to have forecasting of volatility.
"ARIMA modelling is not the best in this circumstance because it models the mean rather than the ...
- 25
2
votes
1
answer
47
views
I can't find an adequate conditional model for this time series
I have the European TTF GAS spot Price time series from 31/12/1990 to 31/10/2022:
https://docs.google.com/spreadsheets/d/1Iu84-oFtv3-ybmp72IJ_s1DfcTG_TDu7/edit?usp=sharing&ouid=...
- 363
1
vote
1
answer
778
views
Interpreting GARCH (1,1) model with external regressor in variance equation using rugarch
I run a standard GARCH (1,1) model and obtain the following results.
Thereafter, I add an external regressor in the same model and obtain the following results:
The GARCH coefficient (beta1) is zero ...
- 59
1
vote
1
answer
125
views
Can the GARCH intercept be 0?
Reading the ARCH and GARCH theory I understood that
alpha_0 have to be > 0 , but when I estimate my GARCH-X(1,1) model I obtain a non significant constant, like this:
Is it a problem? How can I ...
- 37
1
vote
1
answer
158
views
How to model a GARCH(1,1) with covariate?
The purpose of my study is to understand if changes in environment policy or changes in people concerns about climate change affects volatility or if they can help in the prediction of volatility. In ...
- 37
1
vote
1
answer
107
views
Should a covariate be lagged in a GARCH-X model?
I am modelling Dow Jones returns using a GARCH(1,1) model but I also want to estimate a GARCH(1,1) by inserting a covariate to check if this covariate affects the volatility in some ways. The ...
- 37
2
votes
1
answer
462
views
How to model volatility spillovers between some financial time series?
I am doing research to study volatility spillover effects between several financial time series $\{x_{1,t}\}, \dots, \{x_{k,t}\}$ (in my case, $k=4$). What would be the best model to study the ...
- 69.5k
3
votes
2
answers
354
views
Aggregating Multiperiod DCC-GARCH Forecast Covariance Matrices
Say I fit a $DCC$-$GARCH(1,1)$ model to a dataset of weekly returns for four assets.
I forecast the covariance matrix for the next month (so four weekly steps ahead). This gives me four $4 \times 4$ ...
- 43
1
vote
1
answer
314
views
Forecasting using Copula GARCH methods
I need to replicate what Huang et al. (2009)* did without using built-in functions in R.
We have 2 assets to construct an equal-weighted portfolio. We model their volatility according to a GARCH(1, 1),...
- 11
1
vote
0
answers
488
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 ...
- 11
0
votes
1
answer
2k
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
0
answers
243
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 ...
- 899
0
votes
1
answer
450
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 ...
- 3
6
votes
2
answers
3k
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(...
- 1,571
2
votes
1
answer
198
views
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 ...
- 750
0
votes
1
answer
845
views
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\...
0
votes
1
answer
108
views
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 ...
- 3
1
vote
1
answer
682
views
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(...
- 33
0
votes
0
answers
212
views
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 ...
- 33
1
vote
1
answer
376
views
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 ...
0
votes
0
answers
46
views
How to calculate 1-step ahead volatility for IGAARCh(1,1)
I need some pointers to solve this question?
Any help is appreciated.
- 11
0
votes
1
answer
2k
views
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 ...
- 3
1
vote
0
answers
414
views
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 ~...
- 750
0
votes
1
answer
106
views
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/...
- 1
0
votes
0
answers
236
views
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 ...
- 21
1
vote
1
answer
101
views
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 ...
- 289
1
vote
1
answer
946
views
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 ...
- 289
0
votes
0
answers
57
views
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 ...
- 1
1
vote
1
answer
210
views
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 ...
- 787
0
votes
1
answer
528
views
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 ...
- 5
1
vote
0
answers
238
views
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 ...
- 1,129
0
votes
2
answers
473
views
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 ...
2
votes
1
answer
465
views
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 ...
- 1,129
1
vote
1
answer
1k
views
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 $\varepsilon_t \sim N(0,\sigma^2)$.
...
- 13