Looking for a person who is familiar with Stata and EViews, who is capable to use the international capital asset pricing model (CAPM) and do VAR, ADF, GARCH, ARCH tests. The methodology of the similar work is attached. It is needed to use the same methodology for BRICS countries
Need help to add the GO-GARCH model into our recent R-project, and then compare with the DCC-GARCH model based on the paper.
...requirement: The final task would be: need to reproduce the R-code of the paper: A Test of Covariance-Matrix Forecasting Methods. Which means that use 3 method that mention on the paper: [log ind for at se URL] Historical Covariance. [log ind for at se URL] Weighted Moving Average. 3. Dynamic Conditional Correlation GARCH . to forecast the covariance-matrix and then evaluate the
...reproduce the R-code of the paper: A Test of Covariance-Matrix Forecasting Methods. Which means that use 5 method that mention on the paper: [log ind for at se URL] Historical Covariance. [log ind for at se URL] Historical Covariance With Shrinkage. [log ind for at se URL] Weighted Moving Average. 4. Dynamic Conditional Correlation GARCH 5. Generalized Orthogonal GARCH. to ...
...run a code in R (periodgram_analysis) but I have to simulate first some volatility models such as (HARmodel, levHARmodel,Heavy Model, HAR-G model, GJR GARCH model) in order to create the object periodgram in the file "periodgram_analysis" which works along with the file "[log ind for at se URL]". My request is to define this periodgram obj...
...tutor to be proficient about correlation and value at risk using python. You need to understand how to (with the given data in excel): - Create daily log returns, fit a GARCH model with t(d) distributed shocks and make a scatter plot. - Estimate the conditional correlation - Make a plot of the VaR series. All using python. The data is daily data
m very well comfartable in using r .. and well goood for analysing r in market data analysing m having good command in stock market anlaysing...very well comfartable in using r .. and well goood for analysing r in market data analysing m having good command in stock market anlaysing using timeseries, corrletion , garch , volatility modeling etc..
I want to apply this model for the financial crisis 2008, housing bubble 2007 and European sovereign debt crisis and i don't know which data can be used for this model (what type of stocks and which index is the best), i also don't know which statistical tests are needed to test the efficiency of the model compared to the other 2 models also explained
i need to analyse the data by using excel for GARCH model, the topic is the Impact of corporate governance on stock price in capital market the data are: 1-share price (already been collected from bloomberg) variable: 2- salary of CEO 3-stock option and after that to explain what happen to the share price when a CEO salary reduce and sells