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Richard Hardy
Richard Hardy
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Does it makes sensetosense to use GARCH to measure mean reversion?

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edit approved Aug 26, 2024 at 15:29
Sane
edit approved Aug 26, 2024 at 15:29
Sane
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I am doing my final paper at my bachelor. For this, I am testing mean reversion in an asset. I found this paper (Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility model; Rizwan Raheem AhmedMean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility model) where the author uses GARCH to test for mean reversion and he wrote this: "The generalised A.R.C.H. model is denoted as the G.A.R.C.H. process, and in G.A.R.C.H. model we sum up both the A.R.C.H. (α) and G.A.R.C.H. (β) coefficients. In the G.A.R.C.H. model, if the sum of coefficients is less than 1 (α+β<1) then the indices of the time seriesdemonstrate the mean reversion process."

Does it make sense? I asked this for GPT and he disagreed. As I am still not a specialist, I have doubts. What do you think?

I am doing my final paper at my bachelor. For this, I am testing mean reversion in an asset. I found this paper (Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility model; Rizwan Raheem Ahmed) where the author uses GARCH to test for mean reversion and he wrote this: "The generalised A.R.C.H. model is denoted as the G.A.R.C.H. process, and in G.A.R.C.H. model we sum up both the A.R.C.H. (α) and G.A.R.C.H. (β) coefficients. In the G.A.R.C.H. model, if the sum of coefficients is less than 1 (α+β<1) then the indices of the time seriesdemonstrate the mean reversion process."

Does it make sense? I asked this for GPT and he disagreed. As I am still not a specialist, I have doubts. What do you think?

I am doing my final paper at my bachelor. For this, I am testing mean reversion in an asset. I found this paper (Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility model) where the author uses GARCH to test for mean reversion and he wrote this: "The generalised A.R.C.H. model is denoted as the G.A.R.C.H. process, and in G.A.R.C.H. model we sum up both the A.R.C.H. (α) and G.A.R.C.H. (β) coefficients. In the G.A.R.C.H. model, if the sum of coefficients is less than 1 (α+β<1) then the indices of the time seriesdemonstrate the mean reversion process."

Does it make sense? I asked this for GPT and he disagreed. As I am still not a specialist, I have doubts. What do you think?

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Victorsmoreschi
Victorsmoreschi
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Does it makes senseto use GARCH to measure mean reversion?

I am doing my final paper at my bachelor. For this, I am testing mean reversion in an asset. I found this paper (Mean reversion in international markets: evidence from G.A.R.C.H. and half-life volatility model; Rizwan Raheem Ahmed) where the author uses GARCH to test for mean reversion and he wrote this: "The generalised A.R.C.H. model is denoted as the G.A.R.C.H. process, and in G.A.R.C.H. model we sum up both the A.R.C.H. (α) and G.A.R.C.H. (β) coefficients. In the G.A.R.C.H. model, if the sum of coefficients is less than 1 (α+β<1) then the indices of the time seriesdemonstrate the mean reversion process."

Does it make sense? I asked this for GPT and he disagreed. As I am still not a specialist, I have doubts. What do you think?