Dear All,
I am trying to estimate a GARCH model to capture price volatility of
securities and I am using daily return.
Now, I want to see if there is a particular behaviour in a specific
period of time and I use a dummy variable (d_D1).
I formulated my GARCH in this way but I am not sure if I have used the
right procedure:
arch return ,het(d_D1) arch(1) garch(1)
ARCH family regression -- multiplicative heteroskedasticity
Sample: 2 - 5309 Number of obs = 5308
Wald chi2(.) = .
Log likelihood = 14948.95 Prob > chi2 = .
------------------------------------------------------------------------------
| OPG
return | Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
return |
_cons | -.0000342 .0001505 -0.23 0.820 -.0003291 .0002608
-------------+----------------------------------------------------------------
HET |
d_D1 | -.3115308 .0415504 -7.50 0.000 -.392968 -.2300936
_cons | -10.24161 .0779456 -131.39 0.000 -10.39438 -10.08884
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .2284142 .0095525 23.91 0.000 .2096916 .2471368
garch |
L1. | .6932624 .010922 63.47 0.000 .6718557 .7146691
------------------------------------------------------------------------------
Another thing that I would like to know is how to perform in Stata10
the Ljiung-Box test to decide the order of the GARCH.
Could you please help me?
Thanks
Katia
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