garch

Hello, I am investigating if the comovement of the green bond market and other markets has changed pre covid-19 and during Covid-19. The plan is to use ARCH/GARCH on the logged returns of the respective marekts to attain their volatility over time. Then I will use dynamic condidional...

Hello everyone, I want to write my thesis about the stability of stablecoins and need some help with my analysis. I want to analyse the volatility of stablecoins compared to the USD and Bitcoin. My Null Hypothesis would be something llike "The fx-rates of stablecoins to 1. USD and 2. BTC are...

I am trying to use a GJR-GARCH model for returns of ftse100 index over the last 20 years using daily data. I have run: "rftse c" However, in the variance equation, the ARCH parameter (alpha) has a negative coefficient, which, as I understand, violates the non-negativity conditions. As in Brooks...

Do you know what is the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH? And how you run it on eviews (or gretl)? If I have understood it well, it is a Granger causality test between Garch standardized residuals. Is this correct? Any help would be very much...

Hi, I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling oil spot prices log-return using various GARCH models: GARCH, APARCH, EGARCH... and I am trying to forecast the prices. I found using ACF and PACF plots that the...

hay guys, i'm working on garch models, but a cant turn my returns stationary. how can i do it? i've tried whit log return (logxt - logxt-1) but it doesn't work. r function: log.return<-dff(log(x)) i've implemented some test and these are the results: #######KPSS Test for Trend...

Has anyone worked on an Asynchronous or Threshold DCC-GARCH in STATA? I've been trying to figure out how to write the code and am looking for a solution. I"m aware that there is no asynchronous options implemented in the existing mgarch dcc program...at least that I can find. Thanks...

Hi, I want to do something very easy, but it doesnt work! I need to see the predictions (and errors) of a GARCH model. The Main Variable es "dowclose", and my idea is look if the GARCH model has a good fitting on this variable. Im using this easy code, but the prediction are just 0's...

Hello, For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on...

can anyone explain why the results of doing regress var1 L.var1, noconstant are different than the results from doing DCC GARCH using the previous equation as the mean equation? the result should be exactly the same, right? thanks

Dear all I am trying to fit a simple ARCH(1)/GARCH(1,1) model to a set of binary data, i.e. I assume a latent GARCH process that is only observed at the values a and b, say (whenever it crosses or hits those thresholds). I found some ideas on fitting a censored GARCH (by SX Wei, for example...

Hello, Im currently writing my bachelor thesis in statistical finance and i have run into a small problem. I want to evaluate forcasts from my GARCH with realized intraday volatility. The intraday data is Tick-data over a certain period. The date column is presented as for example 2011-11-01...

This is likely an absurdly basic question, but how are the parameter estimates in a GARCH(1,1) model interpreted...specifically the AR1, AR2, ARCH0, ARCH1, and GARCH1? Here's a copy of my output: Algorithm converged. GARCH Estimates...

Hello, I have a problem in estimating an ARCH regression model. The following error message is displayed repeatedly by STATA. _TS_p_delta_getnumb(): 3499 strtoreal() not found _TS_p_delta_increment(): - function returned error _TS_p_delta(): - function...

The AR(1)-GARCH(3,1) model is as follows: Y(t) = e(t) - phi * Y(t-1) ---> AR(1), where phi is the parameter e(t) = sqrt(h(t)) * error(t) ---> error(t) follows N(0,1) iid h(t) = w + alpha * [e(t-1)**2] + gamma1 * h(t-1) + gamma2 * h(t-2) + gamma3 * h(t-3) ---> GARCH(3,1), where w, alpha...