Newest 'volatility+hypothesis-testing' Questions

1 vote

0 answers

78 views

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?

Question Anxiety

131

asked Nov 24, 2020 at 17:18

3 votes

2 answers

2k views

Testing if the volatility of single stocks and/or indices have risen in the past

I'm currently writing my bachelor thesis and the main goal of my paper is to test if the volatility of single stocks and indices have risen in the past. My data consists of all stocks of the SMI and ...

RazorLazor

164

asked Sep 26, 2016 at 18:22

2 votes

1 answer

678 views

Best performance evaluation measure for GARCH model? [duplicate]

I want to compare the performance of various volatility models like GARCH, eGARCH, and gjrGARCH from actual volatility (computed using high frequency data). I found three common performance evaluation ...

Neeraj

2,320

asked Nov 26, 2015 at 8:10

1 vote

0 answers

139 views

Regression - volatility vs return

I am attempting to estimate a linear model as: $$ y = a +bX +e $$ I have a series of annual returns and I would like to estimate the effect of volatility on losses. My Null hypothesis is that ...

user2589

11

asked Apr 10, 2014 at 13:42

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