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Re: st: testing for optimal lag in garch


From   Robert A Yaffee <[email protected]>
To   [email protected]
Subject   Re: st: testing for optimal lag in garch
Date   Wed, 30 Aug 2006 14:28:56 -0400

Olga,
  Testing several models can be done sequentially
with the reduction of the arch(1/3) garch(1/3) maximum lag length.  But
there is no step down procedure.  Also, with such nonlinear models,
one needs to be careful about overparameterizing
them, lest your model does not converge.
 - Bob
   

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

home address:
Apt 19-W
2100 Linwood Ave.
Fort Lee, NJ
07024-3171
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----- Original Message -----
From: Olga Gorbachev Melloni <[email protected]>
Date: Wednesday, August 30, 2006 2:07 pm
Subject: st: testing for optimal lag in garch

> hi,
> 
> I was wondering whether there is a test for an optimal structure of 
> Garch(p,q) process in stata, and if so, what is it? I need to test 
> several 
> models and choose the one that fits the data best, i.e. Arch(1) vs. 
> Garch(1,1) vs. Arch (1/2)...
> 
> 
> thank you
> 
> 
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