<t>Hello everyone,I need guidance to build up a basic model from scratch.In brief, my goal is to build up a model that I could use to assess the capacity of some funds in different markets. For example, I am looking to assess the capacity of a fund manager with an AUM of 250M involved only in the fu...

Thank you guys, your help is very much appreciated.

<t>Characteristics of the density and cumulative functions of the log-normal distribution: f(x;mu,sig)=1/(x*sig*sqrt(2*n))*e^((-z^2/2) ), x>0 F(x;mu,sig)= F(z) ,where : z=(log(x)-mu)/sigThen, I should build the conditional log-normal, x0 is the threshold 1 and x are always larger than x0.f(x; mu,sig...

<t>Meaning we absolutely have to start from zero? I have a series which starts at 1 and finish at 7000. Instead of doing the MLE starting from zero i want to start from 1 therefore, I do not remove any observations. The dfittool of matlab always start at zero under a lognormal distribution and conse...

<t>I have a series of data which pretty much follow a log normal distribution. I want to take the MLE to extract the first two moments; however, the distribution is truncated. That is, my data starts at 1 not at 0. I have been using the dfittool of matlab but I am just not able to truncate my distri...

<t>I have a series of data which pretty much follow a log normal distribution. I want to take the mle to extract the first two moments; however, the distribution is truncated. That is, my data starts at 1 not at 0. I have been using the dfittool of matlab but I am just not able to truncate my distri...

I mostly used DCC and DCC variants with daily observations.

These are the usual implications but they have also been applied to model stock returns, build-in indices. These do a pretty good job in practice and usually the difference is from the assumptions on the var-covar matrix.

<t>I have 5 series of data which consist of 5-year bond yields for 5 different countries. I have estimated an EGARCH(1,1) model for each as well as the GJR-GARCH(1,1). I would like to test which of these 2 models does a better job at matching the data. I found a procedure by Engle and Ng (1993) howe...

There is actually an integrated command othwerwise check RATS manual 7.0. You can also check on www.estima.com

<t>Hi,I am requesting your help w.r.t to testing for asymmetry.Based on : Cappiello, Engle, Sheppard (2003) and Engle and Ng (1993) I would need help to understand the procedure on how to test for asymmetrical news responce. Accord to Cappiello et al., they test whether variance of asset returns are...

I've got RATS Algo if needed

<t>In this case don't use cointegration. I'm not a specialist in reduced-form models but I'm pretty sure that some of those tackle your problem. In terms of econometrics, GARCH related models seem the best fit for your problem. There is an unlimited supply of these Bollerslev 2008 for a literature r...

As posted before :Tue Aug 30, 11 11:56 PM Did you backtest a general GJR-GARCH framework? Do you get good results for impulse response and forecasts?-ADCC(L,S,U)model: G = g1/2,A = a1/2,B = b1/2 you're also right about the positive definitiveness of the var-covar matrix

This is what I ended doingMany thanks,Alan