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Greetings, I am using fGarch package to estimate and simulate GARCH models. What I would like to do is to perform Monte Carlo simulation. Unfortunately I cannot figure how to modify the code to achieve this. I use the following...
I am estimating daily electricity prices using GARCH (1,1). What I would like to see is whether there is some kind of daily or seasonal effect in variance of the price series. For instance, variance of electricity prices might...
Hello, I am trying to calculate Diebold Mariano test statistic (DM) using dm.test module. I also try to do the same thing with STATA and I get vastly different results (4.5 vs 25). Does someone have experience with...
I use fGarch package to estimate AR(1)-ARCH(1) process for a vector of returns. Then, using the estimated parameters I want to simulate 10 000 sample paths where each path has the same length as the vector of...
I am confused by obtaining different results when testing for unit root when using different packages. I have 2625 price entries for which I want to determine whether they exhibit unit root. First I test using adf.test from tseries...
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