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RE: st: Measure of fit for ARCH model


From   Maarten buis <maartenbuis@yahoo.co.uk>
To   stata list <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Measure of fit for ARCH model
Date   Tue, 6 May 2008 19:36:41 +0100 (BST)

--- Beat Hintermann wrote:
> 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?

This may or may not apply:
http://www.stata.com/support/faqs/stat/rsquared.html

Hope this helps,
Maarten

-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands

visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434

+31 20 5986715

http://home.fsw.vu.nl/m.buis/
-----------------------------------------


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