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Re: st: GARCH with dummy variables


From   Katia Bobulova <katia.bobulova@googlemail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: GARCH with dummy variables
Date   Wed, 13 May 2009 18:18:39 +0100

Dear Robert,

thank you very much for your email.

However, I would like to know if I have written my GARCH model,  with
the dummy variable, in the right way.

Could you help me?

Thanks

Katia

2009/5/12 Robert A Yaffee <bob.yaffee@nyu.edu>:
> 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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