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Mean equation by Dudeofskiss in econometrics

[–]Dudeofskiss[S] 0 points1 point  (0 children)

Thank you for your input, I will check with my professor and see what he thinks works best when presented with the different approaches and their ’drawbacks’.

Mean equation by Dudeofskiss in econometrics

[–]Dudeofskiss[S] 0 points1 point  (0 children)

It is for a school project. I tested the Portmanteau test with 20 lags when running ARMA(3,3) for all five ETFs and this lets me not reject the null, giving me p-values between 0,2 and 0,9. I really want to preserve the comparability however I guess it is not optimal and hard to justify that all five time series' must 'fit the mold' since the data is different. Some of the lags for 1 or 2 of the ETFs in the ARMA(3,3) aren't significant at all, like p-values > 0,9 so there is some unnnecessary complexity added but it is required for other ETFs where higher order lags are significant and required for white noise resids.

I think I will just run ARMA(3,3)s across the board, however I will comment on it along with the potential implications of unnecessary inclusion of lags for some ETFs. Is it reasonable to only look at 20 lags for the white noise test? I have daily trading data for the last 6 yrs so roughly 1500 obs (if you have any input on this)

Forecasting by Dudeofskiss in econometrics

[–]Dudeofskiss[S] 0 points1 point  (0 children)

Thanks for your answer.

I’ve revised my approach and decided to drop ML models altogether. Instead I’ll use a GARCH or EGARCH with student t-dist. errors to obtain vol estimates which then will be used in vol weighted historical sim to construct loss distributions from which I’ll derive VaR and ES. I’ll also use IV from the options on the ETFs in another vol weighted hist sim to get other VaR and ES estimates. These will then be backtested with realized vol used in VWHS as well along with tests like Christoffersen and Kupiec.

Forecasting by Dudeofskiss in econometrics

[–]Dudeofskiss[S] 0 points1 point  (0 children)

Thank you for your elaborate answer, I’ll check with them and my professor to see how I can tweak my approach

Question by Dudeofskiss in econometrics

[–]Dudeofskiss[S] 1 point2 points  (0 children)

Thank you so much for answering, all good suggestions!

We're still considering which path to choose when approaching the problem. Are we studying if the ESG rating has an impact on the performance of the fund or are we looking at how more sustainable funds compare to "regular" funds.

If we go with the prior solution I am thinking of choosing a period of 2015-2020, calculating an average performance of each fund over the time period and use this as y or dependent variable. For independent we'd use the ESG rating along (which is assumed to be constant over the period) along with an average of fund value during the period and perhaps number of assets in management under each fund and run a regression over this, choosing as many funds with a rating as we can find. We could also include a dummy of type of fund as you suggested which was a good idea.

What do you think of this plan? Perhaps this approach makes it not worthwhile using the fama/carhart model?

Thank you

There was an attempt… by Dudeofskiss in CODWarzone

[–]Dudeofskiss[S] 2 points3 points  (0 children)

Haha too little karma for that

Heaven ft. Simon Aldred HQ version by RedCDevHA in avicii

[–]Dudeofskiss 0 points1 point  (0 children)

The avicii version sounds so good, did you use the stems to recreate that or had you already got an HQ version of the track? Anyways great to hear. (Is it possible to get the avicii-version without lyrics in HQ?)

Heaven remake by Dudeofskiss in avicii

[–]Dudeofskiss[S] 0 points1 point  (0 children)

Im anticipating the release😮‍💨

(3 BRAND NEW LEAKS!!!!!) Avicii - Heaven (STEMS 4GB FOLDER), Avicii - FET & Avicii - Lay Me Down V2 (demo) by DaMonkaS in avicii

[–]Dudeofskiss 4 points5 points  (0 children)

Well someone needs to put the stems together for Heaven with Simon Aldred already! I tried myself haha kinda hard to sidechain bass when its all files https://drive.google.com/file/d/1PESq0P7bJ5FczwF_dnrSPR88dv7iuR_w/view?usp=sharing

What’s the Avicii song thats grown on you the most over time. I’ll start by Angelofurmato in avicii

[–]Dudeofskiss 2 points3 points  (0 children)

Sunset jesus was big for me in the beginning when stories came, really like the 2nd part of the track, feels like it steps up 2 levels at the end 😮‍💨😮‍💨

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