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Re: st: testing for optimal lag in garch
The arch procedure performs garch as well.
arch price, ar(1) ma(1) arch(1) garch(1) will
perform an arma(1,1) -Garch(1,1) analysis of a
Robert A. Yaffee, Ph.D.
Shirley M. Ehrenkranz
School of Social Work
New York University
2100 Linwood Ave.
Fort Lee, NJ
----- Original Message -----
From: Olga Gorbachev Melloni <firstname.lastname@example.org>
Date: Wednesday, August 30, 2006 2:07 pm
Subject: st: testing for optimal lag in garch
> 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
> 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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> * http://www.ats.ucla.edu/stat/stata/
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