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st: testing for optimal lag in garch


From   "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   st: testing for optimal lag in garch
Date   Wed, 30 Aug 2006 14:07:46 -0400

hi,

I was wondering whether there is a test for an optimal structure of Garch(p,q) process in stata, and if so, what is it? I need to test several models and choose the one that fits the data best, i.e. Arch(1) vs. Garch(1,1) vs. Arch (1/2)...


thank you


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