All Questions
11 questions
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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
0
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0
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29
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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
0
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1
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231
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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
3
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0
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54
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What are some sound multivariate GARCH models with proven mathematical/statistical properties?
Some popular multivariate GARCH models such as BEKK and DCC have been criticized for the nonexistence of the corresponding stochastic processes and (if I interpret that correctly) the following ...
- 69.5k
3
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1
answer
1k
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How do I extract VaR estimation from DCC-GARCH model in R?
I have estimated a DCC-GARCH model in R and I need to extract the Value at Risk for an equally weighted portfolio from the estimated model.
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3
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1
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446
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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 ...
- 319
0
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0
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59
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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:
...
- 161
0
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1
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2k
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Obtaining point forecasts from a DCC-GARCH model in rmgarch in R [closed]
I am becoming more acquainted with GARCH models in R, but I am not sure my code is right for what I am trying to do, so I would appreciate any help.
Based on an xts I create using data from a csv ...
- 662
1
vote
1
answer
330
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Estimates and forecasts of correlation matrix of CCC GARCH across windows
I have already estimated my DCC GARCH parameters and forecasted covariances on a rolling window basis. Now I want to use CCC GARCH forecasted covariances on the same rolling window basis as a ...
- 73
3
votes
1
answer
12k
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Interpretation of DCC-GARCH output
I have done fitted a DCC-GARCH model using the dccfit function from the "rmgarch" package in R. The output is below:
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- 57
1
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1
answer
2k
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Multivariate volatility forecasting (GARCH)
I have to analize 19 asset class, in order to make a volatility forecasting for each one. I know that with the EGARCH model (with the help of MATLAB) I can forecast volatiity, but only for 1 asset ...
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