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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   Wed, 13 May 2009 16:13:54 -0400

Katia,
  That depends what your conditional volatility looks like and whether you
are doing what you should be doing and whether that is what you want to do.
It also depends on what your residuals look like beforre and after what you
did.
    Regards,
           Bob

     

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: Wednesday, May 13, 2009 1:20 pm
Subject: Re: st: GARCH with dummy variables
To: statalist@hsphsun2.harvard.edu


> 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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> >
> 
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