Tag Archives: garch simulation
garch and the distribution of returns
Using garch to learn a little about the distribution of returns. Previously There are posts on garch — in particular: A practical introduction to garch modeling The components garch model in the rugarch package garch and long tails There has also been discussion of the distribution of returns, including a satire called “The distribution of … Continue reading
Variability of garch predictions
How variable are garch predictions? Previously There have been several posts on garch, in particular: A practical introduction to garch modeling The components garch model in the rugarch package Both of these posts speak about the two common prediction targets: prediction (of volatility) at the individual times (usually days) term structure prediction — the average … Continue reading
Volatility from daily or monthly: garch evidence
Should you use daily or monthly returns to estimate volatility? Does garch explain why volatility estimated with daily data tends to be bigger than if it is estimated with monthly data? Previously There are a number of previous posts — with the variance compression tag — that discuss the phenomenon of volatility estimated with daily … Continue reading
Posted in Quant finance, R language
Tagged garch simulation, variance compression, volatility
6 Comments
Creating prediction distributions
Here we give details and code for the prediction distributions exhibited in yesterday’s blog post “Tis the season to predict”. [Revision: There was a problem with the plots published in that post. For corrected plots and an explanation of the error, see Revised market prediction distributions.] Eight years of returns The equity indices use daily … Continue reading
Posted in Fund management in general, R language
Tagged garch simulation, loess, market prediction
4 Comments
