All Questions
Tagged with forecasting programming
35
questions
0
votes
0
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222
views
Is my time horizon for GARCH(1,1)/ARCH(1)/EGARCH(1,1) reasonable?
I am trying to learn about volatility forecasting using three models: ARCH(1), GARCH(1, 1) and EGARCH(1, 1) using python. I wanted to know if my general procedure is correct, and specifically if my ...
- 31
1
vote
2
answers
589
views
Volatility forecast for 5-minute frequency data
I have high frequency data for financial stocks (5-minute periodicity) and I want to forecast volatility.
I'm familiarized with the usual ARCH/GARCH models and their variants for daily data but after ...
- 11
2
votes
0
answers
456
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Are there any public implementations of realized kernels? (preferably in Python)
looking to implement a realized kernel model to forecast realized variance of around ~140 equities and indices in Python given order book data.
I have read "Realised Kernels in Practice: Trades ...
- 73
0
votes
1
answer
771
views
Use of ugarchroll vs ugarchforecast: setting parameters
I would like to generate 21 day ahead forecast volatility with ugarchroll.
I know it is similar to ugarchforecast with the exception that ugarchroll is a rolling average which considers initially the ...
- 326
0
votes
0
answers
191
views
Optimal predictors for 1-month returns
I am implementing a Random Forest classifier algorithm on Python for predicting future stock returns (one month). My goal is to foresee whether the cumulative returns in a month will be negative or ...
- 63
0
votes
2
answers
2k
views
How to obtain one-step ahead forecast in Python based on GARCH?
I am trying to produce one-step ahead forecast using GARCH in Python using a fixed windows method. I ultimately want to put the code below in a for loop, but this code snippet does not perform as I ...
- 103
1
vote
1
answer
2k
views
GARCH(1,1) forecast plot in R with training data
I've fit a GARCH(1,1) model in R and would like to create a plot similar to the one in this question: Is this the correct way to forecast stock price volatility using GARCH
Could someone direct me to ...
- 11
1
vote
2
answers
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
3
votes
2
answers
365
views
Confidence Intervals for ARMA+GARCH forecasts
I have fitted an ARMA(1,1)+GARCH(1,1) model to my logreturns series. When it comes to my standarized error's distribution however, I have opted for a Skewed Generalized Error Distribution, because of ...
- 175
0
votes
0
answers
4k
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Rolling forecast using GARCH model
EDIT
This is not a duplicate of my original question linked, since I have since overcome that problem and have posted an answer. Since solving the previous problem, I have run into the problem ...
- 193
2
votes
1
answer
3k
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Is this the correct way to forecast stock price volatility using GARCH
I am attempting to make a forecast of a stock's volatility some time into the future (say 90 days). It seems that GARCH is a traditionally used model for this.
I have implemented this below using ...
- 193
1
vote
0
answers
757
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Poor results forecasting stock price volatility using Python's GARCH model
As far as I understand, forecasting stock price volatility should be more achievable than forecasting absolute prices or returns. It seems as though GARCH models are the traditional and most widely ...
- 193
1
vote
3
answers
6k
views
Predicting stock returns with GARCH in Python
I have seen this post: Correctly applying GARCH in Python which shows how to correctly apply GARCH models in Python using the arch library. Now I am wondering how I ...
- 229
3
votes
2
answers
294
views
How to interpret and define statistics of GBM output
I am trying to model the future prices of a number of commodities. For this, I am applying geometric Brownian motion, writing a Monte Carlo code in Python. Given that I want to estimate tommorows ...
- 51
4
votes
0
answers
132
views
How to find a probability of VIX moving from one price to another
I asked a similar question on here with a bounty. I decided to modify the question to simplify what I am trying to do. Is there a package on MATLAB or some other tool where I can find the probability ...
- 728