2. Standard Model with Interpretation in R
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- Опубликовано: 21 авг 2024
- Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models in R | 2. Standard GARCH model
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Very clear explanation! Your interpretations were really helpful. Thank you!!!
Welcome!
Thank you very much, Dr. Bharatendra!!
You are very welcome!
Thank you sir! Nice explanation.
Most welcome!
Nice work!
Thanks!
Very good explanation Dr. My question is I was trying to fit time series for WIPRO stock prices but P values for mu and omega were not below 0.05, hence rendering them statistically insignificant in the sGarch model. What could I do in order to get those values below 0.05
Amazing Dr, do you have a video on ARIMA?
You can find all time series videos in this playlist:
ruclips.net/video/OJ3aeVBHAIk/видео.html
Thanks a lot for the video. It's very helpful. How did you call up this information board about optimal parameters? If I run m always appears a plot selection.
Hello sir, I have one question related to adjusted pearson goodness of fit test. In goodness of fit test we can see output results we got three columns one is "groups" second is "Statistics" and 3rd is p-values. But I didn't understand what is column of groups what is groups 20,30,40 and 50.
What time point in the video does your question relate to?
Mr. Bharatendra Rai, aren´t the arch lm tests being inconsistent with the garch regression?
I have a question, can the garch model be used to compare the volatility of 2 stocks ? for example apple and microsoft and if so on what basis are we comparing ?
Dear Mr. Bharatendra Rai, Do you maybe have a similar approach for multivariate garch. I am looking at DCC-Garch rolling forecast. However the package "rmgarch" in R does not have a "report" function like "rugarch" and does not report the backtesting results of Value-at-Risk. As backtesting is the only way to validate and see if the model is any good (by looking at how many times the model forecast exceeded 5%), it is very important to have this result. As I said, it is given in univariate package but not multivariate one. Any help is greatly appreciated. KR.
Great vid, can you repeat in python?
That may take time as current semester is very busy!
@@bkrai no problem, thanks, I am trying to wean off of R.
Thank You sir. sir How to interpret if Alpha+beta is more than 1????
Sir can you please one video about the r code for merging different netcdf files
Thanks, I've added it to my list.
@@bkrai thank you sir
You are welcome!
Great refresher !
Can you cover vector garch?
I've added it to my list.
If my model for mean part is a SARIMA model , then in ugarchspec() function what should be the order of mean.model?
Sir, kindly answer this question!!
my model for mean is ARIMA(p=4,d=1,q=2,seasonal=order(P=2,D=1,Q=2),period=7); then when i'm going to write this model in the function ugarchspec(), then in armaOrder i only can define p,q values but can't define d,P,D,Q values. How to do that??
Thnx for tutorial. R code available?
2 more to go, will post entire code once done.
Please explain me sir.
I don't understand your question. I didn't talk about it in the video.
My question is what is roll of group column in goodness of fit test means what is 20,30,40 and 50 group in goodness of fit test. Thank you