Search found 7 matches

by akash27
Wed Jul 23, 2014 7:05 am
Forum: Add-in Support
Topic: PairsTrade
Replies: 10
Views: 9944

Re: PairsTrade

The add-in summary report doesn't show any return (cumulative or excess) for pairs trading strategy. Is there any way to calculate these returns?
by akash27
Wed Jul 09, 2014 7:36 am
Forum: Add-in Support
Topic: ZAURoot (Zivot-Andrews Unit Root test)
Replies: 88
Views: 76096

Re: ZAURoot (Zivot-Andrews Unit Root test)

Using which criteria does the add-in chooses the optimal lag shown in the result window?
by akash27
Wed Jul 09, 2014 1:46 am
Forum: Add-in Support
Topic: PPURoot (Perron 1997 unit root test)
Replies: 19
Views: 21386

Re: PPURoot (Perron 1997 unit root test)

We have daily data(all 7 days ) time-series and we are running PPURoot with Break location = Trend maximum lag length = 365 The results of add-in are: structural break at 20-oct-2013 chosen lag length = 283 Is this approach of choosing maximum lag for daily data as 365 correct? and how do one decide...
by akash27
Thu Jun 19, 2014 11:49 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 118
Views: 63033

Re: DCCGARCH11

I'm new to DCC-Garch model as I'm from engineering background. I have another curiosity which is not directly related to this add-in, but I would be really grateful if you could help me with those. I am trying to find dependence of Inflation rate on monthly Oil prices, for that 1) Should I use time ...
by akash27
Thu Jun 19, 2014 11:41 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 118
Views: 63033

Re: DCCGARCH11

Dear turbador, Please accept my sincere apologies for the e-mail. I am trying to plot dynamic conditional correlation between oil prices & inflation rate. In your opinion, should I filter the time series using VAR and then input the residuals in add-in or should I directly give the two time seri...
by akash27
Wed Jun 18, 2014 11:32 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 118
Views: 63033

Re: DCCGARCH11

After running the add-in, how do I get graphical plot of DCC GARCH conditional correlation ( say on y-axis) with time (say on x-axis) between two series?
by akash27
Wed Jun 18, 2014 9:13 am
Forum: Add-in Support
Topic: DCCGARCH11
Replies: 118
Views: 63033

Re: DCCGARCH11

Before estimating a DCC-GARCH(1,1) model, time series have to be filtered to assure zero expected (mean) value of the time series. Usually, a bivariate Vector Autoregressive (VAR) model used to initially remove potential linear structure, then the residuals of the VAR model are used as inputs for th...

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