All Questions
Tagged with volatility references
4 questions
3
votes
0
answers
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
2
votes
1
answer
4k
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Standardized residuals GARCH models
Lets say I have a GARCH(1,1) model,
First, I model the conditional MEAN,
$$Y_t=\delta+\beta Y_{t-1}+\varepsilon_t$$
NextI gather the residuals $\varepsilon_t$ and model the conditional variance,
...
- 319
1
vote
1
answer
168
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GARCH volatility modelling with external variables using R packages [closed]
I want to model stocks' volatility with GARCH based models, with external variables. Until now, I found RUGARCH package fot that purpose. However, I wonder is there any other packages for GARCH ...
- 699
5
votes
2
answers
6k
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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