New answers tagged garch
0
votes
ARMA-GARCH python implementation
fitted GARCH model is predicting variance, while fitted ARIMA is predicting mean. And yes, as forecast you use sum of them, like here:
...
Top 50 recent answers are included
Related Tags
garch × 1042time-series × 423
r × 242
arima × 205
volatility × 157
forecasting × 95
estimation × 63
finance × 52
maximum-likelihood × 48
heteroscedasticity × 41
variance × 40
model-selection × 40
residuals × 39
multivariate-analysis × 38
autocorrelation × 36
stationarity × 36
regression × 30
econometrics × 30
hypothesis-testing × 27
correlation × 25
stata × 23
distributions × 22
aic × 21
python × 19
bayesian × 18