All Questions
Tagged with forecasting covariance
6
questions
1
vote
2
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297
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$n$-day ahead forecast for asymmetric DCC-GARCH model
I am working on forecasting covariances with the use of MGARCH models. I was wondering if anyone knows how to implement a n-day ahead forecast of the aDCC (asymmetric DCC) model in R. The ...
- 11
1
vote
1
answer
81
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Generate scenarios of multiple related parameters
Assume I have three industry datasets: interest rates, inflation and unemployment. Data contains information of last ten years and it's monthly.
Now, I would like to create N possible scenarios of ...
- 50
1
vote
1
answer
344
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How can I forecast future correlation?
There are some standard models for forecasting volatility (e.g., GARCH) and for forecasting returns (e.g., factor models). What kind of standard models exist for forecasting future correlation between ...
- 881
2
votes
1
answer
159
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To understand FOMC events and its impact on the market
Last month when FOMC meeting decision went out that fed would start to exit QE3, immediately we saw a deleveraging effect: SPY went down, GLD went down, and LQD (bond) went down, but US dollars went ...
- 121
8
votes
2
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288
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Is there an optimal covariance one would want forecasts to have?
Often in a quant process, one will generate a time series of return forecasts and use them in some sort of optimization to generate a portfolio. Generally, there will be a covariance matrix of market ...
- 81
22
votes
5
answers
9k
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How do you evaluate a covariance forecast?
Suppose you have two sources of covariance forecasts on a fixed set of $n$ assets, method A and method B (you can think of them as black box forecasts, from two vendors, say), which are known to be ...
- 2,836