Questions tagged [volatility]
175 questions
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The same graph plotted [ggplot2]
I came across a problem with creating a list of plots. I have created garch predictions and I have those values in list:
for(i in 1:length(Tickery))
{
name <- paste(Tickery[i])
log_ret <- diff(log(CP_list[[i]]))
log_ret_list[[name]] <-…
ltrd
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- 8
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1 answer
quantlibxl yield term structure / volatility surface and american option
I'm new to quantlib and I'm only using the excel addins to be precise.
Do you now is it possible to call a yield term structure and a volatility surface when pricing an american option (fairly sure you can)?
What is the name of the object called?…
Benji_90210
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0
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1 answer
Simulating returns from ARMA(1,1) - MCsGARCH(1,1) model
How can I find expected intraday return of ARMA(1,1) - MCsGARCH(1,1) Model in R?
The sample code of the model is available at http://www.unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/
Asli
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0
votes
2 answers
Forecasting of BEKK(1,1) model for 5 variables
I have estimated a BEKK(1,1) model and now I want to have forecast values of the model. Following are the R codes to estimate the BEKK(1,1) model.
> install.packages('MTS')
> install.packages('rmgarch')
> simulated <- simulateBEKK(2, 1000, c(1,…
haleemasadia
- 27
- 2
0
votes
2 answers
How do I retain the dates of a zoo object if the new column is calculated from a function?
I obtained the daily closing price in the form of a zoo object from get.hist.quote where the dates are retained. The log returns is calculated and trimmed to remove NA values.
stockEBAY$Data retrains the dates as the x value for later plotting using…
437gf083
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0
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0 answers
Newton Raphson method PHP
Trying to calculate implied volatility for an option using PHP. The BlackScholes function calculates the price of an option, $OptionValue is the price of the option and $guess is an estimation.
I've based my attempt on similar applications but my…
Mark
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- 8
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1 answer
AttributeError: 'bool' object has no attribute 'ndim'
from quantopian.pipeline import Pipeline
from quantopian.algorithm import attach_pipeline, pipeline_output
from quantopian.pipeline.data.builtin import USEquityPricing
from quantopian.pipeline.factors import SimpleMovingAverage
from…
James Can Cui
- 3
- 3
0
votes
1 answer
Calculating the stock price volatility from a 3-columns csv
I am looking for a way to make the following code work:
import pandas
path = 'data_prices.csv'
data = pandas.read_csv(path, sep=';')
data = data.sort_values(by=['TICKER', 'DATE'], ascending=[True, False])
data.columns
I have a 2 dimensional array…
Spurious
- 1,903
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outlier detection in garch(1,1) by dornik & ooms (2002)
I try to find additive and innovative outliers in the German Stock Index (dax) using the method Doornik & Ooms explained in 2002:
Step 1 Estimate the baseline GARCH model to obtain log-likelihood (lb)and residuals
Step 2 Find the largest (in…
Mo Bro
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- 4
0
votes
1 answer
Unexpected Closing Bracket in R?
eCHFao<- -0.141081
#eCHFa1<-0
eCHFb1<- 0.985833
eCHFg1<- 0.199665
meanCHF<- mean(XtCHF)
eVarCHF<- (array,3421)
eVarCHF[1]<- var(XtCHF)
abco<- c(meanCHF, XtCHF1)
for (i in 2:3421) {eVarCHF[i]<- exp(eCHFao + (eCHFb1*log(sqrt(eVarCHF[i-1]))}
this code…
Jackie Vazquez
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- 4
0
votes
1 answer
(Python3) Conditional Mean in Garch Model
I am using "arch" package of python . I am fitting a GARCH(1,1) model with mean model ARX. After the fitting, we can call the conditional volatility directly. However, I don't know how to call the modeled conditional mean values
Any help?
POKIN CHAN
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votes
2 answers
Open PDF found with volatility
my task is to analyze a memory dump. I've found the location of a PDF-File and I want to analyze it with virustotal. But I can't figure out how to "download" it from the memory dump.
I've already tried it with this command:
python vol.py -f img.vmem…
pichlbaer
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0
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2 answers
How do i get a RAM Dump from an LG G3 Smartphone?
i have to check an LG G3 for malware with Volatility.
So i need a ram dump.
Has anyone an idea how to get this?
Thanks for your answers.
Regards, Felix!
Felix
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0
votes
1 answer
multiplicative component GARCH
So I'm trying to replicate this post for Colombia stock http://unstarched.net/2013/03/20/high-frequency-garch-the-multiplicative-component-garch-mcsgarch-model/, so first I do the same that the post do to understand what it does and how do it work.…
Alejandro Andrade
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0
votes
2 answers
Python scipy.optimize.minimize gives ZeroDivisionError
I am trying to implement SABR (Stochastic alpha, beta, rho) in Python to calculate implied volatility. This link here explains SABR very accurately and concisely starting on slide 17: http://lesniewski.us/papers/presentations/MIT_March2014.pdf
The…
Erniu
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