All Questions
Tagged with volatility-forecasting or volatility
248 questions
0 votes
0 answers
26 views
What's the benefit of getting the log(Price) instead of just using the Price in modeling? [duplicate]
I'm doing a study on the volatility of asset prices and trying to model gold prices through GARCH. I've read multiple papers on it but most have mentioned either just gold prices or taking the "...
- 43
1 vote
1 answer
43 views
DCC-GARCH: Valid to have different GARCH models for each series?
Most DCC-GARCH tutorials and guides I found online often use "replicate" in creating their DCC specification, i.e. ...
- 43
0 votes
1 answer
91 views
DCC-GARCH: Correct way of choosing between the normal distribution and t-distribution
DCC-GARCH is comprised of two stages: (1) estimating the univariate GARCH and (2) estimating the correlations through DCC. My time series (bond yields) is not normally distributed, as they rejected ...
- 43
1 vote
1 answer
63 views
DCC GARCH - Is there any merit in setting omega to zero?
I estimated the univariate GARCH models for each series, and all coefficients are statistically significant. However, upon putting them into one DCC-GARCH model with a DCC(1,1) spec, the individual ...
- 43
2 votes
1 answer
69 views
Should the parameters of the DCC-GARCH model be specified simultaneously?
I also learned that in specifying the GARCH model, whether it's a GARCH(1,1) or whatever, that the mean model must be estimated simultaneously and not separately. To put this in to context, sometimes ...
- 43
1 vote
0 answers
39 views
EGARCH model with low R-squared and negative log-likelihood [closed]
I am not very experienced with coding and have been working on a model I found on GitHub to estimate the volatility of the S&P 500. The code implements an EGARCH(1,1) model, but I noticed that the ...
2 votes
0 answers
82 views
How Are The Initial Value of Conditional Variance Calculated in rugarch Package?
I am trying to verify the calculations of my zero-mean GARCH(1,1) model using the rugarch library. At first I thought the initial first value of the conditional ...
0 votes
0 answers
46 views
Estimating Variability or Volatility at a Point in Discrete Signal
I have a discrete signal/time series $X_t$ whose values were recorded from a sensor at a semi-regular frequency. I want to create some measure of variability/volatility/noise at each timestamp. I've ...
1 vote
0 answers
36 views
What are the pros and cons of using multivariate Filtered Historical Simulation with univariate GARCH models compared to a GARCH-DCC approach?
I am assessing the market risk of an equity portfolio and have come across an example in the MATLAB documentation that uses a multivariate Filtered Historical Simulation technique: https://it....
- 1,036
2 votes
0 answers
104 views
Understanding Volatility Clustering: Conditional or Unconditional Variance?
A stylized fact observed in financial time series is volatility clustering. Volatility clustering is commonly described as the fact that large changes in asset prices are followed by large changes, ...
- 1,475
2 votes
1 answer
337 views
XGBoost: does manipulating the sample make it "extrapolate"?
Suppose I want to perform time series forecasting with XGBoost. I understand that tree-based models cannot extrapolate. However, the time series I am working with is stationary (no trend or obvious ...
- 87
0 votes
0 answers
55 views
time series squared forecast evaluation
I have a time series with very weak autocorrelations- mostly unforecastable. However, its squared values have stronger autocorrelations. Something like this: ...
- 633
1 vote
0 answers
176 views
Manual maximum likelihood estimation of realized GARCH behaving poorly
I'm trying to estimate the maximum likelihood of a realized GARCH model. Below are the equations and the parameters I want to estimate I'm using the below function to maximise the likelihood, but it ...
- 23
3 votes
1 answer
88 views
A volatility score not sensitive to the overall scale of the variable
I want to measure volatility in my customer base using the last 5 years of activity. That is, a total of purchases summed by year over a 5 year period. I plan to use this formula to calculate the ...
- 199
2 votes
1 answer
211 views
Loss function for volatility forecasts from GARCH
What are the options for loss functions, when trying to compare the volatility (sigma) forecasts from different GARCH models? I was thinking about the Qlike function but am not sure if this would give ...
- 713