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Re: st: testing for optimal lag in garch


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for optimal lag in garch
Date   Wed, 30 Aug 2006 14:25:55 -0400

Olga,
  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
price series.
   Regards,
        Bob Yaffee

Robert A. Yaffee, Ph.D.
Research Professor
Shirley M. Ehrenkranz
School of Social Work
New York University

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
Phone: 201-242-3824
Fax: 201-242-3825
yaffee@nyu.edu

----- Original Message -----
From: Olga Gorbachev Melloni <olga_gorbachev@hotmail.com>
Date: Wednesday, August 30, 2006 2:07 pm
Subject: st: testing for optimal lag in garch

> 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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