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Re: st: Measure of fit for ARCH model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Measure of fit for ARCH model
Date   Tue, 06 May 2008 14:34:37 -0400

Beat,
  There are many measures that can be used here either in-sample or 
out-of-sample.  Some are featured in Ser-Huang Poon's "A Practical Guide
to Forecasting financial market volatility" in Chapter 2, including
mean error, mean square error, root mean square error, mean absolute
error, and mean absolute percent error, mean logarithm of absolute error
Theil's U, and a LINEX measure that handles asymmetric loss.
  These are very simple to estimate.
  Regards,
      Robert Yaffee

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


----- Original Message -----
From: Beat Hintermann <bhintermann@arec.umd.edu>
Date: Tuesday, May 6, 2008 2:28 pm
Subject: st: Measure of fit for ARCH model
To: "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>


> 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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