Teena ...

10 Questions 16 Answers 0 Followers

Questions related from Teena ...

FsQCA test calibration and truth table query..?

Dear all, I have to apply FsQCA test on my data, I hv few queries in fuzzy set data.. 1. Whether we can score during calibration of data matrix to any condition as 1 or it should be less than...

03 September 2022 4,287 0 View

Is it necessary to consider mean equation coefficient's significance while testing for any GARCH, EGARCH or BEKK GARCH model?

Dear all, I want to know that when we run any GARCH model we firstly estimate a mean model and do its residual diagnostics to see arch effect. if arch effect found then run GARCH models. mean...

05 October 2018 3,361 10 View

Granger causality test is applied on non stationary data or stationary data?

Dear all, Granger causality test is applied on non stationary data or stationary data? VAR is applied on stationary or non stationary data? Like wise VECM is applied on stationary and non...

22 September 2018 3,214 18 View

Whether Bivariate Johansan cointegration and Bivariate BEKK GARCH models can be applied on daily data of 7 years..?

Dear all, I want to know 1st Whether Bivariate Johansan cointegration and Bivariate BEKK GARCH models can be applied on daily data of 7 years..derived from stock market or monthly data is...

22 September 2018 3,218 3 View

In iid with (mean 0, sigma square), this Sigma square is equal to what?

Dear all, This Sigma square is equal to what? In iid with (mean 0, sigma square). In conditional variance modelling we use this iid (independent & identical distributed) term.

14 January 2018 4,000 5 View

How to detect and treat Outliers in Time series data?

Dear all, In financial time series specially of stock market we have to deal with data before modelling for missing values and outliers. Missing values for any one day can be found out by...

21 December 2017 3,729 10 View

Whether this volatility modelling is the part of volatility analysis?

I basically want to know that whether this volatility modelling is the part of volatility analysis or both terms are completely different? My above question on volatility is also in this...

07 December 2017 123 3 View

What is the role of modelling in volatility analysis?

Dear all, We know that while choosing any model for volatility we see our objective first like - To check spillover. To check news impact. To check leverage effect or clustering. What exactly we...

06 December 2017 5,817 3 View

Whether GARCH model of volatility are outdated?

Dear all, kindly update me about the latest models on volatility check of stock market indices. Whether GARCH model are outdated? I also want to know that While using GARCH models the reason to...

20 November 2017 5,952 3 View

How to interpret EGARCH MODEL coefficients output?

Dear experts, I am working on stock market time series. I have applied EGARCH model to analyse volatility dynamics. I have queries on its output as follows- 1.) What to do when mean equation...

16 August 2017 6,702 9 View