Vasja,
I cannot replicate that problem with my Stata10. Changing the subcommand order
does not change the parameter estimates in my arch output.
- Regards,
Bob
Robert A. Yaffee, Ph.D.
Research Professor
Silver School of Social Work
New York University
Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
CV: http://homepages.nyu.edu/~ray1/vita.pdf
----- Original Message -----
From: Robert A Yaffee <[email protected]>
Date: Monday, August 18, 2008 10:16 am
Subject: Re: st: Problem with ARIMA-ARCH model
To: [email protected]
> Dear Vasja,
> The variance model is not robust to misspecification of the mean model.
> You need to properly specify your mean model before attempting to
> model the conditional error variance. Variations in specification
> of the mean
> model will clearly affect the modeling of the conditional error
> variance from it.
> Regards,
> Bob Yaffee
>
> Robert A. Yaffee, Ph.D.
> Research Professor
> Silver School of Social Work
> New York University
>
>
> Biosketch: http://homepages.nyu.edu/~ray1/Biosketch2008.pdf
>
> CV: http://homepages.nyu.edu/~ray1/vita.pdf
>
> ----- Original Message -----
> From: vasja sivec <[email protected]>
> Date: Monday, August 18, 2008 10:03 am
> Subject: st: Problem with ARIMA-ARCH model
> To: [email protected]
>
>
> > Dear Statalist users,
> >
> > I have a DAX stock index return series and I am trying to model its
> > volatility with ARCH type model. First I modeled the return series
> > itself to obtain the residuals which enter into the ARCH model. The
> > most appropriate model for returns was ARIMA (1,0,1) model with no
> > constant. Then I estimated an ARCH(1) model with the residuals
> > obtained from ARIMA model. But now, the coefficients of ARIMA model
> > have completely changed. This is what happened:
> >
> > . arima dlndax, arima(1,0,1) noconstant nolog
> >
> > ARMA Coef. P>|z|
> > ar
> > L1. -.8310875 0.000
> > ma
> > L1. .811545 0.000
> >
> > . arch dlndax, arch(1) arima(1,0,1) noconstant nolog
> >
> > ARMA Coef. P>|z|
> > ar
> > L1. .2875023 0.079
> > ma
> > L1. -.2352394 0.167
> >
> > ARCH Coef. P>|z|
> > arch
> > L1. .3028063 0.000
> > _const. .0001436 0.000
> >
> > How come that ARCH estimation affects the ARIMA model? Isn`t this a
> > one-way road (ex.: ARIMA->get residuals->calculate cond.
> > variances->estimate ARCH->the end)?
> >
> > Thank you for any kind of help,
> > Vasja Sivec
> > *
> > * For searches and help try:
> > * http://www.stata.com/help.cgi?search
> > * http://www.stata.com/support/statalist/faq
> > * http://www.ats.ucla.edu/stat/stata/
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
