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Questions tagged [volatility]

175 questions
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How to get kernel executable pages in Volatility (linux memory)?

I have a memory dump of Linux system. I am trying to find all the executable pages in memory belonging to the kernel. How can I do that using Volatility/Rekall?
DinDan
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Error in `/.default`(residuals, sigmas) : non-conformable arrays

I am trying to run a garch model and to forecast the variance and then calculate the prices of an index by using bootstrapping. Therefore, I got: garchspec1 <- ugarchspec( mean.model = list(armaOrder = c(0,0)), variance.model =…
S_Star
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Trying to find volatility in R but my code won't work

I'm using this following code to find the volatility of Tesla: library(quantmod) library(ggplot2) Tesla <- getSymbols("TSLA", src = "yahoo", from = "2014-10-01", to = "2019-11-25", auto.assign = FALSE) vol.tesla <- volatility(Tesla[…
zhe_charmander
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Fitting IGARCH model in Python

I'm new to GARCH processes. How can I fit an Integrated GARCH model to log-returns in Python? By "How" I mean which library allows to specify unit-root GARCH model, or how to adapt existing tools. I am currently trying my way around arch library,…
error404
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Rugarch external regressors in mean/variance

What is the proper formatting of the variable provided to external.regressors = ..? My data looks like this: regressor dependent 2008-01-04 3 0.0243990059 2008-01-08 3 0.0057341705 2008-01-09 3 …
Djpengo
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Finding Implied Volatility of Option using nlm function in R

I have an assignment that requires me to calculate the implied volatility of a series of options using their parameters and market price. I understand that the easy way to do this would be to use the compute.implied.volatility function within R,…
cbayntun
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Extract callstack of all threads of a single process - volatility

is there any way to use volatility in order to extract the callstack of all threads of a single process given a PID? By extracting the callstack I intend to view all the system calls currently stacked. Thanks.
Daniel Nahmias
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Monte-Carlo simulation forecasting volatility

Im trying to forecast volatility using an EWMA model. where i have return(t-1) and variance(t-1). n is number of days. for every Monte-carlo simulation N: t=1: Forecast the variance using: var(t+1)=(1-λ)*return(t-1)**2 + λ*variance(t-1) then…
Vegard
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Forecasting densities of exchange rates in R

This is my first post here so I am not quite sure how to frame a question here but I will try my best I am trying to forecast densities of daily exchange rates, I have chosen EUR/USD as my currency pair that I'd like to forecast. I am using GARCH…
Michael lee
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Create GARCH(1, 2) model in Matlab

I am attempting to make a GARCH(1, 2) model in MATLAB for simple comparison to a GARCH(1, 1), GARCH(2, 2), etc. When I run the code below, it spits out a GARCH(1, 1) model rather than a GARCH(1, 2) model. Is a GARCH(1, 2) model not possible? model…
krohn
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Python Pandas: Calculating exponentially weighted lagged squared returns (variance)

I'm trying to implement the AQR ivestment strategy "Time Series Momentum": https://www.aqr.com/library/journal-articles/time-series-momentum. I'm running into some confusion/trouble in part of the process. At first glance Pandas appears to have the…
Bango
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Process pool in Bash

I am trying to get a for loop that will only execute a threaded volatility yara scan module based off a list of rules. One scan per rule per core. Basically it should take the current number of vol.py processes running and check against the core…
JohnFowles
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Forecasting Go-GARCH model

I have a problem with the following R code. From the following R codes I could not get the forecast values of the series. install.packages('MTS') install.packages('rmgarch') install.packages('gogarch') library('MTS') library('rmgarch') …
haleemasadia
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Markov-Swithing GARCH models and parallel in R

First time asking a question here, I'll do my best to be explicit - but let me know if I should provide more info! I'm currently working with "MSGARCH" package in R (version 3.3.3). I'm trying to caclulate rolling VaR for 288 MS-GARCH models, but…
Timur Zekokh
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develop a plugin on volatility that basically searches a memory dumps to find specific object

How can I develop a plugin on volatility that basically searches a memory dumps to find specific object(structure, record) from struct running on c++, using vtype format?
N.M
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