Why is the normal distribution not normal? - page 11
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That volatility is autocorrelated is a fact proven by Robert Engle, who incidentally received a Nobel Prize in Economics for this in the same year as Granger (2003). Mostly for the ARCH model, which is exactly based on autocorrelation of variance. Which is widely used in risk management. Briefly http://www.dengi-info.com/archive/article.php?aid=312
Exactly. When you get tired of the lam-first cactus, you might want to take a closer look. I just want to add that this is widely used in a narrow circle, not just in RM.
Yeah, well, honesty is solvable,
How about the bias in interests, you lose nothing as you gain knowledge of how to beat the market in return.
Neutron ____________________ loses$5,000?
I'm proving it.
That volatility is autocorrelated is a fact proven by Robert Engle, who incidentally received a Nobel Prize in Economics for this in the same year as Granger (2003). Mostly for the ARCH model, which is exactly based on autocorrelation of variance. Which is widely used in risk management. Briefly http://www.dengi-info.com/archive/article.php?aid=312
Sorry, do I understand you correctly that the ARCH model (for the development of which he received an award) fully proves the high correlation between forex increments and the high correlation between those increments and volatility?
Very interesting. Could you elaborate on that, please? ;)
PS: Are you sure we are talking about the same thing?
)))!!! Oksana Dmitrieva was speaking on Ekho about pension reform... She also said that the distribution of social groups in our country is not normal. She said that the Defence Ministry had been displaced. That's what she said.
Guys. Is it contagious?
Sorry, do I understand you correctly that the ARCH model (for the development of which he received an award) fully proves the high correlation between forex increments and the high correlation between those increments and volatility?
Very interesting. Could you elaborate on that, please? ;)
It's kind of a model for estimating the variance of errors in regression models. :)
To Avals
As a joke, to lighten the atmosphere.
Шутка о данных, испольуемых в эконометрических исследованиях:
Оценив множество регрессий профессор выяснил, что производство сои в стране определяется полулогарифмической производственной функцией. Сразу же после написания статьи он посетил офис чиновника, отвечающего за статистику по сое, и заметил плакатик следующего содержания: "Если нет данных, то используй полулогарифмическую функцию".
Or here:
A mathematician, theoretical economist and econometrician is asked to find a black cat (which is not really there) in a dark room
- A mathematician goes crazy trying to find a non-existent black cat and ends up in an asylum.
- The econometrician fails to catch the non-existent black cat, but, after leaving the room, he proudly announces that he can build a model describing all its movements with utmost accuracy.
- The econometrician enters a dark room, spends an hour in there looking for the nonexistent black cat and shouts from inside the room that he has caught it by the scruff of his neck.
to lea
It's kind of a model for estimating the error variance of regression models. :)
Dano didn't mess around with it anymore (never made any money on it, had to create my own model :), but it seems to have many uses (not just evaluation) and in short http://www.finrisk.ru/vol_arch.html (although, you know how it is :o)
Sorry, do I understand you correctly that the ARCH model (for the development of which he received an award) fully proves the high correlation between forex increments and the high correlation between those increments and volatility?
Very interesting. Could you elaborate on that, please? ;)
PS: Are you sure we are talking about the same thing?
No autocorrelation of volatility. The |Open-Close| modulo increments as well as High-Low are correlated with previous values.
You know it yourself ;)
What dispersion has brought people to. It's horrible! :)
Who will carry out a comparative analysis of the returns series and eurusd series?
Immediately after the analysis, I will post how the synthetic series was obtained (not for the sake of luring, but just for objectivity).
The file attached is 20000 data long.
I forgot to upload it. :о)
PS series is in pips i.e. integers
no autocorrelation of volatility. The increments modulo |Open-Close| as well as High-Low correlate with previous values.
Then it simply has nothing to do with the laureate mentioned. It also has nothing to do with the topic under discussion (I suppose Sergei meant increments of the form x(n)-x(n-1), similarly for models, including ARCH). As for your example, when I have free time I'll have a look at it. By the way, if it's not difficult for you, could you post the material, it's really interesting.