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Re: st: testing for optimal lag in garch


From   "Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: testing for optimal lag in garch
Date   Wed, 30 Aug 2006 14:34:52 -0400

What do you mean by "with the reduction of the arch (1/3) garch(1/3) maximum length"? Do you mean I should be looking at the loglikelyhood at the convergence? I know that t-stats are significant at arch(1/5), but how can I be sure I am not overparametrizing?

thank you,




From: Robert A Yaffee <bob.yaffee@nyu.edu>
Reply-To: statalist@hsphsun2.harvard.edu
To: statalist@hsphsun2.harvard.edu
Subject: Re: st: testing for optimal lag in garch
Date: Wed, 30 Aug 2006 14:28:56 -0400

Olga,
  Testing several models can be done sequentially
with the reduction of the arch(1/3) garch(1/3) maximum lag length.  But
there is no step down procedure.  Also, with such nonlinear models,
one needs to be careful about overparameterizing
them, lest your model does not converge.
 - Bob


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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