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RE: st: Measure of fit for ARCH model


From   "Rodrigo Alfaro A." <ralfaro@bcentral.cl>
To   <statalist@hsphsun2.harvard.edu>
Subject   RE: st: Measure of fit for ARCH model
Date   Tue, 6 May 2008 15:16:22 -0400

Also, you could see the measures used in "Autoregressive Conditional
Heteroskedasticity and Changes in Regime," Journal of Econometrics,
September/October 1994 by James Hamilton. 

Note that those measures and the ones suggested by Yaffee below take
care of the fitting of variance instead of prediction as the usual R2.
The latter is usually low and bounded for some specific models (see
Anderson's papers). 

Rodrigo
  

-----Mensaje original-----
De: owner-statalist@hsphsun2.harvard.edu
[mailto:owner-statalist@hsphsun2.harvard.edu] En nombre de Robert A
Yaffee
Enviado el: Martes, 06 de Mayo de 2008 02:35 p.m.
Para: statalist@hsphsun2.harvard.edu
Asunto: Re: st: Measure of fit for ARCH model

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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