ARCD model explained: autoregressive conditional density (Excel)

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Autoregressive conditional density (ARCD) is a broad family of time series models that allow distribution parameters to vary with prior data. Today we are applying an ARCD model based on time-varying scale parameters of a Johnson's SU distribution to S&P 500 daily returns, discuss its Excel implementation, conceptual and mathematical properties, and potential extensions and generalisations.
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Опубликовано:

4 ноя 2023

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Комментарии : 6

@NEDLeducation 8 месяцев назад

You can find the spreadsheets for this video and some additional materials here: drive.google.com/drive/folders/1sP40IW0p0w5IETCgo464uhDFfdyR6rh7 Please consider supporting NEDL on Patreon: www.patreon.com/NEDLeducation

@Mdigi1982 8 месяцев назад

Would be interested in seeing a non-stochastic MBS model with CPR, Default, etc. Maybe OAS if this is something that can be demonstrated in excel. Your videos are all great. Thank you.

@pauljones9286 6 месяцев назад

I will second that. Would love to see an MBS valuation model with monthly mortality, CPR, bond equiv yield etc.

@surendrabarsode8959 8 месяцев назад

1. Please have light focus on your face rather than having it behind you in the background. 2. Request you to talk slowly and little louder. That would really help. 3. Otherwise, you are indeed doing a wonderful work. There is no resource like your RU-vid channel for learning finance and economics. Warm regards.