To specify what I want to do, I want to forecast the volatility of the series
bases on the previous volatility. The prices are now daily returns, they are
logged and differentiated. I have also looked at generating two dates, use
calenderdate and one compdate for use in the model. In compdate, frid
Hi all
ARCH modelling
I have a problem now on how to proceed with further steps in my analysis. I
did a linear OLS regression with my daily data of stock and index returns.
There is now the problem of arch in my error terms. Thus I used the
following r command:
garch(resid_desn, order=c(0,2)) #
2 matches
Mail list logo
