Podcast #128: We chat with Kent C Dodds about why he loves React and discuss what life was like in the dark days before Git. Listen now.
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Volatility is is the degree of variation of a time series around its (conditional) mean. Volatility can be measured by conditional variance or conditional standard deviation. Volatility forecasting is important in finance and risk management.

3
votes
1answer
Perhaps I'm missing a simple conceptual point here. But do the error statistics (RMSE, MAE) not tell which is the best forecast by presenting the lowest figures between the forecast and the actual fig …
asked Apr 9 '17 by Albe
2
votes
1answer
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 ha …
asked Apr 4 '17 by Albe
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votes
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I will be using Eviews and am looking to forecast volatility of stock index returns using ARCH/GARCH models. I've generated the logarithmic returns and done the unit root tests. I then proceeded to pl …
asked Mar 16 '17 by Albe
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I am using E-views and estimating GJR-GARCH (i.e. GARCH(1,1) with a Threshold Order of 1). The data in question is Daily returns for the ASX200 index. I am only using a constant in my my mean equation …
asked Apr 6 '17 by Albe