ARCD model explained: autoregressive conditional density (Excel)

Published: 05 November 2023
on channel: NEDL
1,446
43

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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