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Re: st: Problem with ARIMA-ARCH model


From   "Joao Ricardo F. Lima" <jricardofl@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Problem with ARIMA-ARCH model
Date   Mon, 18 Aug 2008 12:35:16 -0300

Dear prof. Robert,

********example***************************************
webuse wpi1
arima D.ln_wpi, arima(1,0,1) noconstant  nolog
arch D.ln_wpi, arch(1) arima(1,0,1) noconstant nolog
**********************************************************

I think that with this example you can replicate the Vasja doubt.

Best regards,

Joao Lima


2008/8/18 Robert A Yaffee <bob.yaffee@nyu.edu>:
> 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/
>



-- 
-------------------------------
Joao Ricardo Lima
Professor
UFPB-CCA-DCFS
+553138923914
-------------------------------
*
*   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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