Re: st: testing for optimal lag in garch

["Olga Gorbachev Melloni" <olga_gorbachev@hotmail.com>]

What do you mean by "with the reduction of the arch (1/3) garch(1/3) maximum 
length"? Do you mean I should be looking at the loglikelyhood at the 
convergence? I know that t-stats are significant at arch(1/5), but how can I 
be sure I am not overparametrizing?

thank you,




> From: Robert A Yaffee <bob.yaffee@nyu.edu>
> Reply-To: statalist@hsphsun2.harvard.edu
> To: statalist@hsphsun2.harvard.edu
> 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
> Phone: 201-242-3824
> Fax: 201-242-3825
> yaffee@nyu.edu
>
> ----- Original Message -----
> From: Olga Gorbachev Melloni <olga_gorbachev@hotmail.com>
> 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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