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Johan Stax Jakobsen
  • Member for 4 years, 9 months
  • Last seen this week
  • Copenhagen, Denmark
9 votes
Accepted

Maximum likelihood in the GJR-GARCH(1,1) model

9 votes
Accepted

Fitting a GARCH(1, 1) model

6 votes

Initial value of the conditional variance in the GARCH process

5 votes

Distribution of normal variable subtracted from another normal random variable?

5 votes

Bootstrap sample with size greater than the original sample

4 votes

Serially Uncorrelated but dependence in ARCH model

3 votes

Applications of ARCH models

3 votes

What's the point of (G)ARCH when you can square the residual and use ARMA?

3 votes
Accepted

GARCH(1,1) volatility forecast looks biased, it is consistently higher than Parkinson's HL vol

2 votes
Accepted

Persistence in TGARCH

2 votes
Accepted

Mean and Correlation of a First-Order ARCH(1) Process

2 votes
Accepted

Expression for the unconditional variance in the EGARCH model

1 vote

Persistence and choice between vanilla GARCH and component-GARCH

1 vote

DCC-GARCH vs. EWMA vs. Historical Rolling Correlations - Which one to choose for historical correlation analysis?

1 vote

Estimating the confidence interval for the volatility of a GARCH model

1 vote

Beta-t-EGARCH model, what is the unconditional variance

1 vote

How to derive the conditional likelihood for a AR-GARCH model?

1 vote

Distributional forecast for $X_{t+1}$ in GARCH(1,1) with residuals student t distributed

1 vote

Stationarity of the TGARCH

1 vote

Time series - autocorrelation

1 vote

Newcomer question: How does the GARCH recursive formula actually work?

1 vote

Markov Switching GARCH - Expanding or Rolling window forecasting?

1 vote

How to test if the process that generated a time-series has changed over time

1 vote
Accepted

How can I write an asymmetric-BEKK(1,1,1) model

1 vote

How can i choose the optimal lag in GARCH-MIDAS?

1 vote

Hypothesis Test For Independence in Trials?

1 vote

Interest rate control variable GARCH

1 vote

Macroeconomic variables in GARCH

1 vote

GARCH Model Estimation

1 vote

Derivation of GARCH Student-$t$ log-likelihood