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Results tagged with time-series
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user 318491
Time series are data observed over time (either in continuous time or at discrete time periods).
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Different Standard Errors for Univariate GARCH and DCC-GARCH
I have run an ARMA(1,0)-GARCH(1,1) model on the green bond and 4 other markets. I have also investigated the DCC(GB, i) (i= treasury, corproate, equity, carbon) using DCC-ARMA(1,9)-GARCH(1,1). As seen …
- 57
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Augmented Dickey-Fuller test null rejected. AR(1) in ARCH(1) p-value of 0.000
I am trying to model the logged returns of 5 different markets. When running the the Augmented Dickey-Fuller (ADF) tests on the logged market returns, the p-value is 0.000 for all markets regardless i …
- 57
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Interpretation of dccalpha and dccbeta in DCC-GARCH model
I've used DCC-ARMA(1,0) -GARCH(1,1) to model green bond co-movement with some other marekts. In the output, I get the parameters "dccalpha" and "dccbeta". However, I do not know how to interpret these …
- 57
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Implications of insignificant dccalpha and dccbeta for DCC-model used for co-movement analysis
I'm using a DCC-ARMA(1,0)-GARCH(1,1) model to investigate co-movement of the green bond market and other markets. The ARCH/GARCH parameters of the univariate ARMA(1,0)-GARCH(1,1)models are significant …
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