Displaying 6 results from an estimated 6 matches for "ciennik".
2011 Aug 27
1
Degrees of freedom in the Ljung-Box test
Dear list members,
I have 982 quotations of a given stock index and I want to run a Ljung-Box
test on these data to test for autocorrelation. Later on I will estimate 8
coefficients.
I do not know how many degrees of freedom should I assume in the formula for
Ljung-Box test. Could anyone tell me please?
Below the formula:
Box.test(x, lag = ????, type = c("Ljung-Box"), fitdf = 0)
2011 Jul 13
1
AR-GARCH with additional variable - estimation problem
Dear list members,
I am trying to estimate parameters of the AR(1)-GARCH(1,1) model. I have one
additional dummy variable for the AR(1) part.
First I wanted to do it using garchFit function (everything would be then
estimated in one step) however in the fGarch library I didn't find a way to
include an additional variable.
That would be the formula but, as said, I think it is impossible to add
2011 Aug 23
0
Dummy variable regression
Dear list members,
I want to apply AR(1)-GARCH(1,1) model in order to conduct a test of
structural shifts in conditional correlations which I previously estimated.
To be more exact, first, I estimate the conditional correlations using the
DCC-GARCH model. Now I want to check whether these correlations
significantly increased after the crisis began. For that reason I have to
use dummy variable
2011 May 10
0
DCC-GARCH model and AR(1)-GARCH(1, 1) regression model - help needed..
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =
2011 May 15
4
DCC-GARCH model
Hello,
I have a few questions concerning the DCC-GARCH model and its programming in
R.
So here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And the aim is to estimate
coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument = "^gspc",start = "2005-01-07",end =
2011 May 12
2
DCC-GARCH model and AR(1)-GARCH(1,1) regression model
Hello,
I have a rather complex problem... I will have to explain everything in
detail because I cannot solve it by myself...i just ran out of ideas. So
here is what I want to do:
I take quotes of two indices - S&P500 and DJ. And my first aim is to
estimate coefficients of the DCC-GARCH model for them. This is how I do it:
library(tseries)
p1 = get.hist.quote(instrument =