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st: GARCH estimation time issue


From   "gary tian" <g.tian@uws.edu.au>
To   <statalist@hsphsun2.harvard.edu>
Subject   st: GARCH estimation time issue
Date   Thu, 2 Jun 2005 12:25:58 +1000

Dear Sir

I estimate GARCH model using intraday data about 30, 000 observations for 30
individual stocks.

When I use following estimation for one stock, the coefficients are same
with Eviews and Shazam but Stata need about 5 minutes and Eviews and Shazam
are bit of less time. However, it is ok.

arch r l.r, arch(1) garch(1) nolog

When I add volume in the variance equation to the following estimeation,

arch r l.r, het(vol) arch(1) garch(1) nolog

Stata need about 15 minutes and Eviews and Shazam are about 3 mintues. The
problem is that  the values of coefficients from Stata are very different
from those of Eviews and Shazam but significant levels are same. I check
Eviews I use Marquardt optimal algorithm. Ok, so I change to following
estimation of BFGS algorithm:

arch r l.r, het(vol) arch(1) garch(1) nolog bfgs

I wait to 45 minutes, it didnít give me results, so I stop it.

Can you help to solve this problem? Because I really like Stata and do
everything. Thanks in advance.

Gary


-----Original Message-----
From: statalist-owner@hsphsun2.harvard.edu
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Message-ID: <5232d5be05060118543d528423@mail.gmail.com>
Date: Wed, 1 Jun 2005 21:54:30 -0400
From: Cody Knox <codyknox@gmail.com>
To: statalist@hsphsun2.harvard.edu
Subject: st: HSHAZ iteration stopped at number 290.
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X-imss-settings: Baseline:3 C:2 M:2 S:2 R:1 (0.5000 0.5000)

Dear statalist,

I need your help.

I have been running HSHAZ for a large dataset with a number of
covariates. After going through 280 iterations, STATA (hshaz) showed
virtually the same log likelihood for about 10 iterations and then
stopped to move into the next iteration - what a disaster!

If it had sent an error message, I would have had no choice but to
give up. Bottom line is STATA is still running using most of the CPU
capacity - and about a day and a half has passed.

Does anyone have similar experience (and got it through and got the
estimated results later)? Any tips/help are welcome. - if I stop here,
I should run the program for another 20 days... please help me.

Thanks,

Cody Knox

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