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st: Measure of fit for ARCH model


From   Beat Hintermann <bhintermann@arec.umd.edu>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: Measure of fit for ARCH model
Date   Tue, 6 May 2008 14:25:59 -0400

Hi

Can anyone tell me if Stata has a measure that evaluates goodness of fit of an ARCH model?

I know the BIC and AIC, but they are useful only in relative terms when comparing models. Is there anything like a pseudo Rsquared, or some other measure that indicates how much of the variation is accounted for by the model, and how much is left unexplained?

Beat

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