Search found 7 matches
- Wed Jul 23, 2014 7:05 am
- Forum: Add-in Support
- Topic: PairsTrade
- Replies: 11
- Views: 31201
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?
- Wed Jul 09, 2014 7:36 am
- Forum: Add-in Support
- Topic: ZAURoot (Zivot-Andrews Unit Root test)
- Replies: 89
- Views: 182256
Re: ZAURoot (Zivot-Andrews Unit Root test)
Using which criteria does the add-in chooses the optimal lag shown in the result window?
- Wed Jul 09, 2014 1:46 am
- Forum: Add-in Support
- Topic: PPURoot (Perron 1997 unit root test)
- Replies: 19
- Views: 42704
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...
- Thu Jun 19, 2014 11:49 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 434801
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 ...
- Thu Jun 19, 2014 11:41 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 434801
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...
- Wed Jun 18, 2014 11:32 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 434801
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?
- Wed Jun 18, 2014 9:13 am
- Forum: Add-in Support
- Topic: DCCGARCH11
- Replies: 121
- Views: 434801
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...