Great videos, it helped me realise a lot of things! Waiting for new ones!
Currently I am working on my undergraduate thesis about financial contagion during Russian-Ukraniane war. Also, I would like to forecast returns of portfolio (using coefficients from copula-DCC-GARCH), but it seems like there is a problem: in rmgarch package in R it is very time-consuming:
Because of the nonlinear transformation of the margins, there is no closed form solution for the
multi-step ahead forecast. As such, the cgarchsim method must be used. The inst folder of the
package contains a number of examples.
Is there a better way to estimate future copula-DCC-GARCH coefficients?
Yes, for the above you need to use MCMC in order to estimate it. It shouldn’t take THAT long for a single day, but for a moving window, you are better using a high-core machine so you can do them all at the same time. You usually do 1000 1-step ahead forecasts. This is likely to take many hours, so an overnight job.
This is quite challenging for an undergraduate thesis, but you will learn a lot.
I would look here for instructions on how to do it, page 60.
Let me know how you get on and if you need any more help.
I have really been meaning to make a DCC-GARCH-COPULA package in python, but life has been busy!
I apologize for the delayed response. The submission deadline was on May 6 and the depth of your paper prompted me to settle on a forecast for the standard DCC.
Also, I have great news! Today, I presented to the committee and, for some reasons, was assigned to the macroeconomics department. Despite this, I received a score of 9/10, with both reviewers initially recommending an 8. Your forum, videos, and paper made an enormous contribution to my success. I sincerely thank you for your invaluable work!
I’m based in Moscow, Russia, and my main goal right now is to strengthen my CV as I plan to apply for a Master’s program nearest Autumn/Spring and eventually leave the country. However, I’m facing several challenges in finding a suitable job due to the current situation and my morale:
Many banks here are state-funded and connected to military expenditures in some way.
Even if the job isn’t directly related to the military, obtaining a visa can be problematic. For instance, a friend of mine received an offer from a university in Chicago last year but couldn’t get a visa due to his mandatory student research in Physics. MIPT, where he studied, faced sanctions because of its new administration. I’ve also heard of people with experience at Sberbank (the largest bank in Eastern Europe) before the war* having difficulties with German visas. There was even a news article about a man unable to take the CFA exam because of his pre-war* experience at VEB.RF, a state-owned investment bank.
Currently, I’ve received a junior-level offer in credit analytics at a state-owned bank. It’s not connected to CIB so I’m not sure if it’s the best career path for me. Nevertheless I will gain expirience in coding and stuff.
I believe I have really good chances of securing summer positions at:
A Laboratory in Game Theory, where I’d work with esteemed professors for a month, possibly publish an article, and get strong recommendation letters.
The Moscow Stock Exchange.
Both internships seem more reasonable for my career, but the pay is half of what I’d get at the state-owned bank. I understand the challenges given the political situation, but I’d love to hear your thoughts. Which option do you think would be best for enhancing my CV when applying for graduate programs?
Thanks in advance for your advice!
*P. S. I’m sorry, the law in Russia requires not to call this situation a war (there are a LOT of cases when people were sentenced with more years then terrorists because of this, including researches and regular students I don’t even talk about politicians…). So the current situation officialy is called SVO.
I’m sorry if this message comes across as very emotional, but I feel it’s important to share a broader perspective. Even many opposition politicians don’t often talk about the challenges regular Russians face when relocating. I wanted to shed some light on this issue
Thanks for the honest update. I can’t even imagine the struggle talented, ambitious Russians must be going through if they want to relocate abroad.
As to your path, it really does depend if you want to stay in academia/think tanks and keep doing research, or if business is more important for you. The later usually pays better than the former.
I would personally lean towards Moscow stock exchange, as those skills are hugely transferable in the future.
One day these sanctions will go and the world will open up to you!
