Preliminary Experiments with On-Line Adaptive GARCH Models
author:
Miguel Lazaro Gredilla,
Department of Signal Theory and Communications, Universidad Carlos III de Madrid
Categories
Top: BusinessTop: Computer Science: Data Mining: Time Series Analysis
Top: Computer Science: Machine Learning: On-line Learning
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| Slides | |
| 0:00 | Preliminary Experiments with On-line Adaptive GARCH Models |
| 0:25 | Content |
| 0:43 | What is Volatility? (I/II) pt 1 |
| 1:54 | What is Volatility? (I/II) pt 2 |
| 2:09 | What is Volatility? (II/II) pt 1 |
| 2:31 | What is Volatility? (II/II) pt 2 |
| 2:50 | The Volatility Prediction Problem pt 1 |
| 3:15 | The Volatility Prediction Problem pt 2 |
| 3:52 | The Volatility Prediction Problem pt 3 |
| 4:11 | The Volatility Prediction Problem pt 4 |
| 4:53 | The Volatility Prediction Problem pt 5 |
| 5:18 | The Volatility Prediction Problem pt 6 |
| 5:44 | The GARCH Model (I/II) pt 1 |
| 6:06 | The GARCH Model (I/II) pt 2 |
| 7:03 | The GARCH Model (I/II) pt 3 |
| 7:55 | The GARCH Model (II/II) pt 1 |
| 8:33 | The GARCH Model (II/II) pt 2 |
| 9:18 | The GARCH Model (II/II) pt 3 |
| 9:49 | The GARCH Model (I/IIa) pt 3 |
| 10:07 | LMS- and RLS- GARCH(1,1) (I/V) pt 1 |
| 10:13 | The GARCH Model (II/IIa) pt 3 |
| 10:45 | LMS- and RLS- GARCH(1,1) (I/V) pt 2 |
| 10:53 | LMS- and RLS- GARCH(1,1) (I/V) pt 3 |
| 11:33 | LMS- and RLS- GARCH(1,1) (I/V) pt 4 |
| 11:37 | LMS- and RLS- GARCH(1,1) (II/V) pt 1 |
| 11:53 | LMS- and RLS- GARCH(1,1) (II/V) pt 2 |
| 13:04 | LMS- and RLS- GARCH(1,1) (II/V) pt 3 |
| 13:24 | LMS- and RLS- GARCH(1,1) (II/V) pt 4 |
| 13:35 | LMS- and RLS- GARCH(1,1) (III/V) pt 1 |
| 13:52 | LMS- and RLS- GARCH(1,1) (III/V) pt 2 |
| 14:01 | LMS- and RLS- GARCH(1,1) (IV/V) pt 1 |
| 14:32 | LMS- and RLS- GARCH(1,1) (IV/V) pt 2 |
| 16:00 | LMS- and RLS- GARCH(1,1) (V/V) |
| 16:32 | LMS- and RLS- GARCH(1,1) (III/Va) pt 2 |
| 16:46 | LMS- and RLS- GARCH(1,1) (V/Va) |
| 17:27 | Experiments (I/VI) pt 1 |
| 18:00 | Experiments (I/VI) pt 2 |
| 18:37 | Experiments (II/VI) |
| 19:41 | Experiments (III/VI) |
| 20:48 | Experiments (IV/VI) |
| 21:19 | Experiments (V/VI) |
| 22:42 | Experiments - Results pt 1 |
| 23:53 | Experiments - Results pt 2 |
| 24:33 | Experiments - Results pt 3 |
| 24:45 | Experiments - Results pt 4 |
| 24:50 | Experiments - Results pt 5 |
| 25:37 | Experiments - Results pt 6 |
| 25:50 | Experiments - Results pt 7 |
| 25:55 | Experiments - Results pt 8 |
| 26:17 | Experiments (VI/VI) pt 1 |
| 26:27 | Experiments (VI/VI) pt 2 |
| 26:40 | Experiments (VI/VI) pt 3 |
| 26:56 | Experiments (VI/VI) pt 4 |
| 27:07 | Conclusions pt 1 |
| 27:26 | Conclusions pt 2 |
| 27:34 | Conclusions pt 3 |
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My Dear it was very good.
Thereby, I need you video lecture.
Would you be willing give me some hands by sending your Lecture to me?
Kind regards.
Mahdi.
-----------------------------
E-mail:teimoori@aliabadiau.ac.ir
with the departmet of Mathematics and Statistics