Thank you very much for the series. It is really informative and fun to watch and do. Could you please cite the paper with the mathematical proof that no higher-order GARCH outperforms the GARCH(1,1) model?
Thank you for the great content. I learnt a lot. I was trying few things after watching the videos and got stuck. Q1. I have a AR(3)-GJR-GARCH(2,2,2) model like below. How can I test if the model has any leverage effect with 5% significance level? Which test do I run? best_gjr_garch = arch_model(in_sample_return[ticker],mean='AR',lags =3 ,vol='GARCH',p=2,o=2,q=2,dist='t').fit(update_freq=5) Q2. I also have a AR(3)-GJR-GARCH-M(2, 2, 2) model, how can I test the impact of risk on expected return at 5% significance level? Please help me with the method, I am really stuck. Plz plz help.
i created the return on a stock(daily) in a list now i want to estimate the volatility for next day using GARCH model but i dont know how to implement maximum likelihood method. can you help?
Thank you very much for the series. It is really informative and fun to watch and do. Could you please cite the paper with the mathematical proof that no higher-order GARCH outperforms the GARCH(1,1) model?
Great content, and loved the format!
Thank you for the great content. I learnt a lot. I was trying few things after watching the videos and got stuck.
Q1. I have a AR(3)-GJR-GARCH(2,2,2) model like below. How can I test if the model has any leverage effect with 5% significance level? Which test do I run?
best_gjr_garch = arch_model(in_sample_return[ticker],mean='AR',lags =3 ,vol='GARCH',p=2,o=2,q=2,dist='t').fit(update_freq=5)
Q2. I also have a AR(3)-GJR-GARCH-M(2, 2, 2) model, how can I test the impact of risk on expected return at 5% significance level?
Please help me with the method, I am really stuck. Plz plz help.
Where i can find this code
i created the return on a stock(daily) in a list now i want to estimate the volatility for next day using GARCH model but i dont know how to implement maximum likelihood method.
can you help?
th-cam.com/video/3boMYvIzGQ8/w-d-xo.htmlsi=oEBSD2c_jyidYwIL
This code shows an error