Tag Archives: garch
garch models caught in the spotlight
An attempt to clarify the basics. Previously There have been several posts about garch. In particular: A practical introduction to garch modeling The components garch model in the rugarch package Genesis A reader emailed me because he was confused about the workings of garch in general, and simulation with the empirical distribution in particular. If … Continue reading
Changeability of Value at Risk estimators
How does Value at Risk change through time for the same portfolio? Previously There has been a number of posts on Value at Risk, including a basic introduction to Value at Risk and Expected Shortfall. The components garch model was also described. Issue The historical method for Value at Risk is by far the most commonly … Continue reading
garch and the distribution of returns
Using garch to learn a little about the distribution of returns. Previously There are posts on garch — in particular: A practical introduction to garch modeling The components garch model in the rugarch package garch and long tails There has also been discussion of the distribution of returns, including a satire called “The distribution of … Continue reading
Variability of garch predictions
How variable are garch predictions? Previously There have been several posts on garch, in particular: A practical introduction to garch modeling The components garch model in the rugarch package Both of these posts speak about the two common prediction targets: prediction (of volatility) at the individual times (usually days) term structure prediction — the average … Continue reading
The components garch model in the rugarch package
How to fit and use the components model. Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series Variance targeting in garch estimation The model The components model (created by Engle and Lee) generally works better than the more common garch(1,1) model. Some hints about … Continue reading
garch and the Algorithmic Trading Conference
The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud Mussavian Massoud gave a great talk on “Algo Evolution”. It started with a historical review of how trading used to be done “by hand”. It culminated in a phylogenetic tree of trading algorithms. There was an herbivore branch and a carnivore branch. Robert Macrae Robert … Continue reading
Posted in Quant finance, R language
Tagged Algorithmic Trading Conference, garch, volatility clustering
6 Comments
Variance targeting in garch estimation
What is variance targeting in garch estimation? And what is its effect? Previously Related posts are: A practical introduction to garch modeling Variability of garch estimates garch estimation on impossibly long series The last two of these show the variability of garch estimates on simulated series where we know the right answer. In response to … Continue reading
garch estimation on impossibly long series
The variability of garch estimates when the series has 100,000 returns. Experiment The post “Variability of garch estimates” showed estimates of 1000 series that were each 2000 observations long. Here we do the same thing except that the series each have 100,000 observations. That would be four centuries of daily data. It’s not presently feasible … Continue reading
Variability of garch estimates
Not exactly pin-point accuracy. Previously Two related posts are: A practical introduction to garch modeling garch and long tails Experiment 1000 simulated return series were generated. The garch(1,1) parameters were alpha=.07, beta=.925, omega=.01. The asymptotic variance for this model is 2. The half-life is about 138 days. The simulated series used a Student’s t distribution … Continue reading
garch and long tails
How much does garch shorten long tails? Previously Pertinent blog posts include: “A practical introduction to garch modeling” “The distribution of financial returns made simple” “Predictability of kurtosis and skewness in S&P constituents” Induced tails Part of the reason that the distributions of returns have long tails is because of volatility clustering. It’s not really … Continue reading
