Results for tag:"garch" (141 results)

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what is the code for a BIVARIATE BEKK(1,1) model?

Asked by AJ Styles on 24 Nov 2017
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How to store output from repeated AR-GARCH estimation in a for loop

Asked by Obaidur Rehman on 7 Sep 2017
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garchset / garchget to new functions

Asked by art.anna on 20 Aug 2017
Latest activity Answered by Elizabeth Reese on 23 Aug 2017
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Is there any implementation for Multivariate GARCH -BEKK model?

Asked by Abdulatif Alabdulatif on 27 Jul 2017
Latest activity Edited by Nirav Sharda on 2 Aug 2017
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ARMA+GARCH inferred residuals and volatility inconsistency.

Asked by Mike A on 4 Jul 2017
Latest activity Answered by Dimitris Iliou on 14 Jul 2017
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Gauss Code transfer to Matlab with cmlmtcontrol module

Asked by Ruiqing Wu on 9 Jul 2017
Latest activity Reopened by Ruiqing Wu on 9 Jul 2017
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Econometrics Toolbox: External Regressors in GARCH Equation

Asked by Rosi Marungu on 9 Jun 2017
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Hi guys, I tried to find AIC,SIC plot for the ARMA(3,3)-GARCH(p,q), but the output is odd, what's wrong?

Asked by Terrence Xu on 25 May 2017
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Simulate returns with e-garch

Asked by Fadi Tuvik on 24 Feb 2017
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EGARCH - mean variance

Asked by Jan Szlek on 8 Feb 2017
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Problems with GJR-GARCH/EGARCH estimation with fmincon (sqp)

Asked by Duarte Stokes on 18 Sep 2016
Latest activity Commented on by Duarte Stokes on 23 Jan 2017
Accepted Answer by Jordan Ross
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econometric tool box surprise

Asked by jenka on 29 Dec 2016
Latest activity Commented on by jenka on 29 Dec 2016
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Question about GARCH forecast command

Asked by Pennywise on 3 Dec 2016
Latest activity Answered by Hang Qian on 7 Dec 2016
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ARIMA BIC LOOP including "zero"

Asked by polar on 30 Nov 2016
Latest activity Commented on by Brendan Hamm on 30 Nov 2016
Accepted Answer by Brendan Hamm
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How come the first conditional variance of an Inferred GARCH(1,1) model is not the fitted constant for that model?

Asked by Mike A on 19 Nov 2016
Latest activity Answered by Sebastian K on 23 Nov 2016
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using"filter" - error message for inputs 'Y0'

Asked by Sandro Bianchini on 12 Jul 2016
Latest activity Commented on by Hang Qian on 19 Aug 2016
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How to avoid GARCH estimation model to show output in the command window?

Asked by Haoqing FAN on 15 Jun 2016
Latest activity Answered by Hang Qian on 19 Aug 2016
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error occurs when i writing nonlcon and using fmincon

Asked by Joey on 2 Aug 2016
Latest activity Commented on by Joey on 3 Aug 2016
Accepted Answer by Steven Lord
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GARCH detrend return data

Asked by roblocks on 29 May 2016
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Is it posible to estimate an ARMA(p,q)-GARCH(m,n) model with skewed student-t distribution?

Asked by Amses on 19 May 2016
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Estimating GARCH(1,1) model with fmincon

Asked by Alex on 22 Apr 2016
Latest activity Edited by Alex on 26 Apr 2016
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why my matlab tells me that the functions of garchset and garchsim are undefined

Asked by jiarun zhang on 31 Mar 2016
Latest activity Commented on by Star Strider on 31 Mar 2016
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GARCH estimation with exogenous variables

Asked by Lasse Jakobsen on 18 Sep 2011
Latest activity Commented on by simo borto on 20 Feb 2016
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How to get the historical GARCH Variance

Asked by Imner Renmi on 8 Feb 2016
Latest activity Answered by Imner Renmi on 9 Feb 2016
Accepted Answer by Imner Renmi
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Detrend timeseries of conditional heteroscedasticiy using GARCH(1,1)

Asked by roblocks on 12 Jan 2016
Latest activity Commented on by roblocks on 13 Jan 2016
Accepted Answer by Hang Qian
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Maximize loglikelihood function GARCH(1,1)

Asked by Anth Cos on 27 Dec 2015
Latest activity Answered by Brendan Hamm on 28 Dec 2015
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linear regression with GARCH/EGARCH errors

Asked by Philip on 23 Sep 2014
Latest activity Commented on by aa ee on 19 Nov 2015
Accepted Answer by Philip
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Can't run the Conditional Mean and Conditional Variance

Asked by Mostafa Hussein on 13 Nov 2015
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GARCH-X - Garch with variance exogenous variables

Asked by hpramos4@gmail.com on 13 Sep 2015
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Help implementing GARCH model

Asked by Josh V on 27 Aug 2015
Latest activity Commented on by Josh V on 3 Sep 2015
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Forecasting returns using a GARCH model

Asked by Jzbucki on 25 Aug 2015
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GARCH (1,1): problems with tarch function

Asked by Anthony Graham on 23 Aug 2015
Latest activity Commented on by Roger Wohlwend on 24 Aug 2015
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GARCH specification, Error when computing Estimates

Asked by Clemens Mueller on 14 Aug 2015
Latest activity Edited by Sruthi Ayloo on 18 Aug 2015
Accepted Answer by Sruthi Ayloo
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GARCH Prediction not possible

Asked by Clemens Mueller on 18 Aug 2015
Latest activity Commented on by Clemens Mueller on 18 Aug 2015
Accepted Answer by Roger Wohlwend
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GARCH Error: Econometrics Toolbox

Asked by RP on 8 Jul 2015
Latest activity Answered by Hang Qian on 28 Jul 2015
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GARCH significance, what is the precise number?

Asked by Yoshiko Kawashima on 16 Nov 2011
Latest activity Commented on by amine guiri on 9 Jul 2015
Accepted Answer by Wayne King
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About the GARCH results saving

Asked by Hsiang Chun Lai on 2 Jul 2015
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conditional mean and variance-co-variance matrix

Asked by FEI on 27 Jun 2015
Latest activity Commented on by FEI on 30 Jun 2015
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Issue with exercice - GARCH Models

Asked by Zoe Moureau on 7 May 2015
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New vs Old Econometrics Toolbox: garchset/garchfit vs gatch/estimate/infer for getting conditional standard deviations

Asked by David Gonda on 6 Feb 2015
Latest activity Answered by Hang Qian on 14 Apr 2015
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ARMA-GARCH model and dummy variables MATLAB

Asked by Ali Akbar on 10 Apr 2015
Latest activity Commented on by Brendan Hamm on 13 Apr 2015
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how to use matlab garch function in C++ (using the C/C++ compiler)

Asked by Isma on 20 Mar 2015
Latest activity Commented on by Isma on 20 Mar 2015
Accepted Answer by James Tursa
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arima estimate error with garch

Asked by Jonah on 16 Sep 2014
Latest activity Answered by Karl-Martin on 16 Mar 2015
Accepted Answer by Roger Wohlwend
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How to find a good reparametrization to move from a constraint optimization to an unconstrained one?

Asked by Thomas on 21 Jan 2015
Latest activity Answered by Alan Weiss on 21 Jan 2015
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Estimate GARCH(4,1) using estimate: Parameter GARCH{2} is missing

Asked by Karl-Martin on 7 Jan 2015
Latest activity Answered by Karl-Martin on 10 Jan 2015
Accepted Answer by Karl-Martin
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Warning: Lower bound constraints are active; standard errors may be inaccurate.

Asked by Adrian on 9 Jan 2015
Latest activity Edited by Adrian on 9 Jan 2015
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Garch residuals in matlab 2014

Asked by Marco on 3 Nov 2014
Latest activity Answered by Roger Wohlwend on 4 Nov 2014
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What is the timing of inferred garch volatility?

Asked by Robert on 11 Oct 2014
Latest activity Answered by Roger Wohlwend on 13 Oct 2014
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How Should Conditional Mean and Variance Model be Changed if Residuals Exhibit Autocorrelation?

Asked by Danny on 21 Sep 2014
Latest activity Answered by Roger Wohlwend on 22 Sep 2014
Accepted Answer by Roger Wohlwend
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How to assess adequacy of fitted GARCH model?

Asked by Danny on 15 Sep 2014
Latest activity Commented on by Roger Wohlwend on 16 Sep 2014
Accepted Answer by Roger Wohlwend
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