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st: RE: RE: RE: Not the same results with GARCH


From   Valerie Orozco <Valerie.Orozco@toulouse.inra.fr>
To   "statalist@hsphsun2.harvard.edu" <statalist@hsphsun2.harvard.edu>
Subject   st: RE: RE: RE: Not the same results with GARCH
Date   Wed, 26 Oct 2011 10:02:42 +0000

Thank you Nick for your answer.

You're true, I have to consider some criteria to find my best model. But I still find really surprising that the 4 standard optimization techniques give the same results and that the default one (combination of 2) gives very very very strange and different results...

Fortunately the "best" models (looking at the LL, BIC and AIC criteria, see below) are those that seem the most credible in my opinion.

The conclusion to this is that it is really important to estimate the model with all the optimization techniques to check robustness and choose the best one.

--------------------------------------------------------------------------------------------
                         Free                    nr                  bhhh                dfp                   bfgs   
--------------------------------------------------------------------------------------------
valeur                                                                                      
_cons               110.1***        102.3***        102.3***        102.3***        102.3***
--------------------------------------------------------------------------------------------
ARMA                                                                                        
L.ma                0.781***        0.695***        0.695***        0.695***        0.695***
--------------------------------------------------------------------------------------------
ARCH                                                                                        
L.arch            -0.0279*          0.241**         0.241***        0.241**         0.241** 
L.garch            -0.956***        0.742***        0.742***        0.742***        0.742***
_cons               254.3***        5.671           5.676*          5.672           5.678   
--------------------------------------------------------------------------------------------
aic                1979.8          1972.9          1972.9          1972.9          1972.9   
bic                1997.5          1990.7          1990.7          1990.7          1990.7   
LL                 -984.9          -981.5          -981.5          -981.5          -981.5   
--------------------------------------------------------------------------------------------

-------------------------------
Valérie OROZCO
Toulouse School of Economics (INRA-GREMAQ)
21, allée de Brienne
F-31000 Toulouse, France

MF 219
+33 5 61 12 85 91
-------------------------------

-----Message d'origine-----


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