All Questions
Tagged with volatility heteroscedasticity
6 questions
2
votes
0
answers
48
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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
2
votes
0
answers
97
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Prediction intervals in the case of changing variance
I derive a point estimate given value $x_0$ using an estimated linear regression as follows:
$$\hat{y_0} = x_0^T\hat{\beta}.$$
I know that a prediction interval for a given value $x_0$: $$\hat{y}_0\pm ...
- 1,129
1
vote
0
answers
414
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The Nonlinear Asymmetric GARCH Model
I'm reading about the Nonlinear Asymmetric GARCH (NAGARCH) model. If NAGARCH(1, 1) is given by:
$${\displaystyle ~\sigma _{t}^{2}=~\omega +~\alpha (~\epsilon _{t-1}-~\theta ~\sigma _{t-1})^{2}+~\beta ~...
- 750
2
votes
0
answers
126
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Algorithm for dynamic linear regression with stochastic volatility?
Is there any paper or textbook on how to estimate dynamic linear regression model with stochastic volatility?
The observation equation and state equation,
$$Y_t = \beta_t'X_t + \epsilon_{t}$$
$$\...
- 73
2
votes
1
answer
3k
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Remaining heteroskedasticity even after GARCH estimation
This is according to the Ljung-Box $Q$ statistic of residuals squared and ARCH-LM test. Both suggest there are ARCH effects remaining after lag 1 even after I have estimated my GARCH (1,1) model. I ...
- 139
0
votes
1
answer
2k
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DCC GARCH - specifying ARCH and GARCH parameter matrices in Stata
The command in Stata to estimate the DCC model of two variables is:
mgarch dcc ( x1 x2=, noconstant) , arch(1) garch(1) distribution(t)
$$
\begin{bmatrix}
h_{...
- 253