Search found 4 matches
- Fri Jul 10, 2015 6:01 am
- Forum: General Information and Tips and Tricks
- Topic: GARCH estimations for asset price
- Replies: 0
- Views: 3334
GARCH estimations for asset price
I´ve used weekly log returns from DAX data to calculate GARCH11, TARCH and PARCH and got the values for that. I want to those GARCH models to forecast DAX performance. I am not sure about the next step. How can I get from the GARCH equations that is based on log returns to a forecast of the asset pr...
- Fri Jul 10, 2015 5:57 am
- Forum: General Information and Tips and Tricks
- Topic: Time series of skewness
- Replies: 5
- Views: 6950
Re: Time series of skewness
Okay I´ve got it.
What I would like to know as well is:
I want to calculate long term skewness, such that my plot represents my skewness from day 1 to day 2, day 1 to day 3, ...day 1 to day n
Is this somehow possible ?
What I would like to know as well is:
I want to calculate long term skewness, such that my plot represents my skewness from day 1 to day 2, day 1 to day 3, ...day 1 to day n
Is this somehow possible ?
- Mon Jun 29, 2015 7:43 am
- Forum: General Information and Tips and Tricks
- Topic: Time series of skewness
- Replies: 5
- Views: 6950
Re: Time series of skewness
okay thanks
and how do i insert that code if "rt" is my return?
and how do i insert that code if "rt" is my return?
- Mon Jun 29, 2015 2:05 am
- Forum: General Information and Tips and Tricks
- Topic: Time series of skewness
- Replies: 5
- Views: 6950
Time series of skewness
Hi, i guess the answer to my question is obvious but I haven´t been able to find it. I have got a series of DAX returns. I would like to show how the skewness of this series behaves over time. I´ve computed the respective skewness and got a plot with the respective skewness at every specific day. Ho...