Dear list members,
I have 982 quotations of a given stock index and I want to run a Ljung-Box
test on these data to test for autocorrelation. Later on I will estimate 8
coefficients.
I do not know how many degrees of freedom should I assume in the formula for
Ljung-Box test. Could anyone tell me
Dear list members,
I want to apply AR(1)-GARCH(1,1) model in order to conduct a test of
structural shifts in conditional correlations which I previously estimated.
To be more exact, first, I estimate the conditional correlations using the
DCC-GARCH model. Now I want to check whether these
Dear list members,
I am trying to estimate parameters of the AR(1)-GARCH(1,1) model. I have one
additional dummy variable for the AR(1) part.
First I wanted to do it using garchFit function (everything would be then
estimated in one step) however in the fGarch library I didn't find a way to
Hi,
I thought that a common practice is just to ommit the first period data
since it does not have much influence on further results / calculations.
Cheers
Marcin
2011/6/7 windseav winds...@gmail.com
Hi, everyone,
I currently run into a problem about DCC-Garch model. I use the package
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - SP500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 =
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - SP500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 =
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - SP500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 =
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - SP500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - SP500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - SP500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for
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