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Re: st: Problem with ARIMA-ARCH model


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with ARIMA-ARCH model
Date   Mon, 18 Aug 2008 10:25:01 -0400

Vasja,
   I cannot replicate that problem with my Stata10.  Changing the subcommand order
does not change the parameter estimates in my arch output.
         - Regards,
               Bob


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


Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf

CV:  http://homepages.nyu.edu/~ray1/vita.pdf

----- Original Message -----
From: Robert A Yaffee <bob.yaffee@nyu.edu>
Date: Monday, August 18, 2008 10:16 am
Subject: Re: st: Problem with ARIMA-ARCH model
To: statalist@hsphsun2.harvard.edu


> Dear Vasja,
>    The variance model is not robust to misspecification of the mean model.
> You need to properly specify your mean model before attempting to
> model the conditional error variance.    Variations in specification 
> of the mean
> model will clearly affect the modeling of the conditional error 
> variance from it.
>          Regards,
>               Bob Yaffee
> 
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
> 
> 
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
> 
> CV:  http://homepages.nyu.edu/~ray1/vita.pdf
> 
> ----- Original Message -----
> From: vasja sivec <vasja.sivec@gmail.com>
> Date: Monday, August 18, 2008 10:03 am
> Subject: st: Problem with ARIMA-ARCH model
> To: statalist@hsphsun2.harvard.edu
> 
> 
> > Dear Statalist users,
> > 
> > I have a DAX stock index return series and I am trying to model its
> > volatility with ARCH type model. First I modeled the return series
> > itself to obtain the residuals which enter into the ARCH model. The
> > most appropriate model for returns was ARIMA (1,0,1) model with no
> > constant. Then I estimated an ARCH(1) model with the residuals
> > obtained from ARIMA model. But now, the coefficients of ARIMA model
> > have completely changed. This is what happened:
> > 
> > . arima dlndax, arima(1,0,1) noconstant nolog
> > 
> > ARMA        Coef.                  P>|z|
> > ar
> > L1.            -.8310875            0.000
> > ma
> > L1.             .811545              0.000
> > 
> > . arch dlndax, arch(1) arima(1,0,1) noconstant nolog
> > 
> > ARMA        Coef.                  P>|z|
> > ar
> > L1.           .2875023              0.079
> > ma
> > L1.           -.2352394             0.167
> > 
> > ARCH        Coef.                   P>|z|
> > arch
> > L1.           .3028063              0.000
> > _const.     .0001436              0.000
> > 
> > How come that ARCH estimation affects the ARIMA model? Isn`t this a
> > one-way road (ex.: ARIMA->get residuals->calculate cond.
> > variances->estimate ARCH->the end)?
> > 
> > Thank you for any kind of help,
> > Vasja Sivec
> > *
> > *   For searches and help try:
> > *   http://www.stata.com/help.cgi?search
> > *   http://www.stata.com/support/statalist/faq
> > *   http://www.ats.ucla.edu/stat/stata/
*
*   For searches and help try:
*   http://www.stata.com/help.cgi?search
*   http://www.stata.com/support/statalist/faq
*   http://www.ats.ucla.edu/stat/stata/



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