Displaying 4 results from an estimated 4 matches for "and_mue".
2012 Apr 26
1
looking for an add-in for daily data analysis
Hi all
I am looking for an add-in. I am currently working on something and I use
daily data of closing stock prices. As not all companies are traded daily
(e.g. on monday, then on thursday etc) at the stock exchange, there is
satistically a problem. There are some papers which explain the approach to
handle infrequent trading of a stock or non synchronous data and beta
estimation (Dimson, 1979;
2012 May 25
1
Problem with Autocorrelation and GLS Regression
Hi,
I have a problem with a regression I try to run. I did an estimation of the
market model with daily data. You can see to output below:
/> summary(regression_resn)
Time series regression with "ts" data:
Start = -150, End = -26
Call:
dynlm(formula = ror_resn ~ ror_spi_resn)
Residuals:
Min 1Q Median 3Q Max
-0.0255690 -0.0030378 0.0002787
2012 Jun 08
0
Problem with ARCH
Hi
I have a problem on how to proceed with further steps in my analysis. I did
a linear OLS regression (ri,t=alpha*beta*rm,t+et) 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)) ## This ARCH(2) process seems to fit the
best after trial and error. Consequently, I get there
2012 Jun 06
1
ARCH modelling/MA process
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)) ## This ARCH(2) process seems to fit the
best after trial and error. Consequently, I get there three