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 <[email protected]>:
> 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 <[email protected]>
> Date: Tuesday, May 12, 2009 12:26 pm
> Subject: st: GARCH with dummy variables
> To: [email protected]
>
>
>> 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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