garch models caught in the spotlight
An attempt to clarify the basics. Previously There have been [...]
Changeability of Value at Risk estimators
How does Value at Risk change through time for the [...]
garch and the distribution of returns
Using garch to learn a little about the distribution of [...]
Variability of garch predictions
How variable are garch predictions? Previously There have been several [...]
The components garch model in the rugarch package
How to fit and use the components model. Previously Related [...]
garch and the Algorithmic Trading Conference
The Imperial College Algorithmic Trading Conference was Saturday. Talks Massoud [...]
Variance targeting in garch estimation
What is variance targeting in garch estimation? And what is [...]
garch estimation on impossibly long series
The variability of garch estimates when the series has 100,000 [...]
Variability of garch estimates
Not exactly pin-point accuracy. Previously Two related posts are: A [...]
garch and long tails
How much does garch shorten long tails? Previously Pertinent blog [...]