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Re: st: GARCH with dummy variables


From   Robert A Yaffee <bob.yaffee@nyu.edu>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GARCH with dummy variables
Date   Tue, 12 May 2009 18:22:26 -0400

Katia,
  You can save the residuals and run an ac and pac on them.
You can also look for the order of the arch effects with ac and pac
on squared residuals.
   Regards,
     Bob Yaffee


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

NSF grant:
http://www.colorado.edu/ibs/es/nuclear_disaster_risk/principal_investigators.html
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2009.pdf

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

----- Original Message -----
From: Katia Bobulova <katia.bobulova@googlemail.com>
Date: Tuesday, May 12, 2009 12:26 pm
Subject: st: GARCH with dummy variables
To: statalist@hsphsun2.harvard.edu


> 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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