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Results tagged with probability-or-statistics
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user 24928
Questions about systematic data collection and organization, or the application of probability theory to model the inherent patterns and properties of sampled data, underlying data distribution(s) or random processes.
7
votes
0
answers
474
views
How can I model the volatility, using a GARCH(1,1), of a time series of returns (and plot it... [closed]
I know that if I use this code:
tsm = TimeSeriesModelFit[ret, {"GARCH", {1, 1}}];
I can get the parameters using this:
tsm["ParameterTable"]
But I don't know how to plot the volatility, using th …
- 205
1
vote
1
answer
669
views
How do you graph the confidence intervals that results from a GARCH over a time series?
Please, does someone know how to draw a confidence intervals (from the results of a GARCH (1,1)) in a way similar to these:
*Asume an ARMA(1,1) fit the time series.
Thank you very much
- 205