Questions tagged [forecasting]
The forecasting tag has no usage guidance.
247
questions
0
votes
0
answers
90
views
Forecasting forward curve using Gaussian Process Regression
I have daily closing prices of crude oil monthly contracts up to 36 months. Some contracts are not very liquid so there are missing prices at random. I stitched together contracts to make them rolling ...
2
votes
1
answer
149
views
Recommended books/resources for IRRBB risk metrics calculation
Any recommendations for books/resources/videos/on-demand courses for in-depth IRRBB-related risk metrics calculation etc?
Yield Curve Risk, Basis Risk, Repricing Risk, Optionality Risk, Value at Risk, ...
3
votes
1
answer
285
views
Effect of back-transforming forecasted mean of log returns to get forecasted mean of price
When trying to forecast time series, say forecasting the level of a stock index so we can forecast the future values of an option, it tends to be helpful to analyze the log returns versus the original ...
1
vote
1
answer
333
views
Is a volatility forecast essentially a delta forecast in vanilla European options?
As the title suggests.
I want to understand why delta hedging is done. I'd like to illustrate with an example:
Say you have 7 dte option chain with 15.8% IV ATM straddle on an underlying of spot 100.
...
0
votes
0
answers
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 ...
0
votes
1
answer
69
views
Optimal Input and Target Variables for Forecasting Using a Deep Neural Network on Daily Stock/Index Data [closed]
What is the optimal input and target variables for forecasting with a deep neural network on daily stock/index data? More specifically I’m training a temporal convolutional network, but a more general ...
0
votes
2
answers
247
views
Appropriate way to combine alternative volatility estimates
I have a number of different annualized realized volatility estimates (for the same point in time) that I'd like to combine. Is a simple average over these appropriate? Or should I do this in the ...
2
votes
2
answers
474
views
Assessing the GARCH model out-of-time
I have fitted two competing GARCH models, one GARCH(1,2) model and another EGARCH(1,1,1) both with t-distributed errors, on the ...
0
votes
0
answers
115
views
Move from risk-neutral probability to historical probability
I am working on a density forecasting project using options. Using the Breeden-Litzenberger formula it is possible to find the implied density at maturity under the risk neutral probability of an ...
1
vote
1
answer
923
views
Multistep ahead forecasts in GARCH equations
If my one step ahead forecasts from GARCH(1,1)-X are:
\begin{equation}
\hat{h}_{t+1} = \hat{\alpha}_0 + \hat{\alpha}_1 \hat{u}^2_t + \hat{\beta}_1 \hat{h}_t + \hat{\psi} X_t
\end{equation}
Where ...
1
vote
0
answers
37
views
Inflation in wealth forecast [closed]
I am building a model to simulate people's wealth in the next years.
Say Mr X has a portfolio with an expected return of 3% (annual). From this I can simulate the return of his portfolio in the next ...
1
vote
0
answers
861
views
How to forecast volatility using gamma exposure index?
Brainstorming this afternoon.
GEX is the gamma exposure index (https://squeezemetrics.com/monitor/static/guide.pdf). It's the sum of gamma exposure for call and put.
Using IV, strike and BDS you can ...
0
votes
1
answer
132
views
Is intra-forecast-horizon rebalancing suboptimal?
Suppose that I have forward 1-month forecasts of returns that are updated daily. Is it suboptimal to rebalance more frequently than 1-month (e.g., daily or weekly)? Theoretically, if I forecast the ...
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 ...
3
votes
0
answers
228
views
"Better" forecasts lead to worse asset allocation performance
Short version
If you're trying to produce an asset allocation system, it feels pretty natural to split it into an estimation component that forecasts asset means and covariance, and a weighting ...