thank you very much Dr. Bharatendra Rai but no one in youtube explained how we fit SARIMA + GARCH in R and how to do the Forecast, I looked evreywhere no one expalined this
Dear Sir, I follow the code you provided in the video to see how GARCH models work. However, when I run "getSymbols("AAPL",from = "2008-01-01",to = "2019-12-31")", it returns AAPL download failed. I have asked this question in R community, but no one can reply.
Hi, I need to compare forecasted volatility of my garch model with implied volatility of the option of a stock that is due in 20 days. How do I do that?
Hi Dr. Bharatendra Rai. Thanks a lot from Spain. Could you make a video to model volatility based on other independent variables that explain such volatility? For example, using GARCH where the dependent variable is the volatility of the BITCOIN, and it is explained by its past and by another stock index. Thank you again :)
Hi, Dr. Great explanation. I have a query on 1:07 whereby w=0.05/v. I understand that 0.05 is the weight proportion of risky asset relative to other assets (or risk free asset) that you assign to while w is the dynamic weight proportion adjusted with standard deviation of assets return. (ps: Correct me if I am wrong) Thus, is there any theoritical framework or model (or even further research) about this portfolio allocation method if want to study further?
Thanks alot Sir very helpful.kindly explain how do we know to enter Arma terms (0,0) or change it.is this on the base of acf and pacf plot .in your 2nd video u take constant mean in my research work how do i know to take constant mean ?.is there necessary to take conditional mean equation and conditional variance eq in stock returns research work .
I started with the most basic model and gradually explored more complex models in terms of number of parameters to be estimated. We look for various indicators before finalizing a model such as whether or nor a parameter is significant, information content. etc. Although it is easy to develop a very complex model, but a simpler model that performs well is always good.
أستاذة معذرة منك أنت لم تتمكن من فهمي هل يمكنك أن تضع لي البيانات مكتوبة في صيغة pdf مثل البيانات التي استعملتها حتى أدخلها لبرنامج R وأتمكن من تشغيل البرنامج لأحصل على المنحنيات
Very clear explanation! Your interpretations were really helpful. Thank you!!!
Thanks for comments!
thank you very much Dr. Bharatendra Rai
but no one in youtube explained how we fit SARIMA + GARCH in R and how to do the Forecast, I looked evreywhere no one expalined this
Thanks for comments!
Dear Sir, I follow the code you provided in the video to see how GARCH models work. However, when I run "getSymbols("AAPL",from = "2008-01-01",to = "2019-12-31")", it returns AAPL download failed. I have asked this question in R community, but no one can reply.
Install.packages("quantmod")
Hi, I need to compare forecasted volatility of my garch model with implied volatility of the option of a stock that is due in 20 days. How do I do that?
Dear Dr.Rai, pls help me commond of write.csv(garch with coef and p-value. Thank you so much.
Hi Dr. Bharatendra Rai. Thanks a lot from Spain. Could you make a video to model volatility based on other independent variables that explain such volatility? For example, using GARCH where the dependent variable is the volatility of the BITCOIN, and it is explained by its past and by another stock index. Thank you again :)
so if i'm comparing the models i should remove the ones with non significant parameter (omega,alpha,beta)
Hi, Dr. Great explanation. I have a query on 1:07 whereby w=0.05/v.
I understand that 0.05 is the weight proportion of risky asset relative to other assets (or risk free asset) that you assign to while w is the dynamic weight proportion adjusted with standard deviation of assets return. (ps: Correct me if I am wrong)
Thus, is there any theoritical framework or model (or even further research) about this portfolio allocation method if want to study further?
Thanks alot Sir very helpful.kindly explain how do we know to enter Arma terms (0,0) or change it.is this on the base of acf and pacf plot .in your 2nd video u take constant mean in my research work how do i know to take constant mean ?.is there necessary to take conditional mean equation and conditional variance eq in stock returns research work .
I started with the most basic model and gradually explored more complex models in terms of number of parameters to be estimated. We look for various indicators before finalizing a model such as whether or nor a parameter is significant, information content. etc. Although it is easy to develop a very complex model, but a simpler model that performs well is always good.
Thank You
ممكن تضع لنا المعطيات اوو البيانات التي استعملتها
Refer to this:
ruclips.net/video/9OVleScSjKs/видео.html
أستاذ ممكن البيانات التي أدخلها لبرنامج R في صيغة pdf !
لأتمكن من قراء البرنامج لأنه بدون معطيات لا أتمكن من الحصول على النتائج والمنحنيات
Here is the link to the playlist. There are 4 lecture videos that you can go through one by one:
ruclips.net/video/9OVleScSjKs/видео.html
أستاذة معذرة منك أنت لم تتمكن من فهمي
هل يمكنك أن تضع لي البيانات مكتوبة في صيغة pdf مثل البيانات التي استعملتها حتى أدخلها لبرنامج R وأتمكن من تشغيل البرنامج لأحصل على المنحنيات