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From | Tirthankar Chakravarty <tirthankar.lists@gmail.com> |
To | statalist@hsphsun2.harvard.edu |
Subject | Re: st: Heteroskedasticity still presents after using DCC-MGARCH |
Date | Thu, 27 Sep 2012 16:04:49 +0530 |
A few points: - You say that you are checking the square of the prices for heteroskedasticity, but are modelling the returns? - Also, while the PACF is a visual indicator, you need to perform actual tests, like the Box-Ljung type portmanteau tests on the squared residuals to be able to say something statistically definite. You might wish to start here: http://onlinelibrary.wiley.com/doi/10.1111/1467-9892.00061/abstract - You need to say what your model specification looks like. You have not told us your model selection device -- have you tried adding further lags to your volatility equations? T On Wed, Sep 26, 2012 at 11:33 PM, Ra Nad <ranad112011@gmail.com> wrote: > Hi all, > > I have a problem running the DCC-MGARCH model.Heteroskedasticity > still presents after using DCC-MGARCH no matter what mean equation or > order of ARCH/GARCH that I use > > I tested several series of returns and found no autocorrelation but > heteroskedasticity in the returns . So I use DCC-MGARCH model to > estimate their correlation.After running the DCC-MGARCH, I checked the > residuals for heteroskedasticity and found heteroskedasticity still > presents. The special thing is, whatever lag order or mean equation I > use, when I check for PACF of the squared residuals, they are still > significant at the same lags like the PACF of the squared return. > > I don't know if my explanation is clear or not so I give an example below: > > When checking the PACF of squared prices A,B, and C, I found the PACF > is significant at lag 1,2,3,9 for squared A, the PACF is significant > at lag 2 for squared B, and at lag 3,5 for squared C. After running > the DCC-MGARCH with several types of mean equation such as VAR, > ARIMA, I check for the residual's PACF and found PACF of squared A are > still significant at lag 1,2,3,9 , PACF of squared B is still > significant at lag 2, the same happens for squared C. So basically the > DCC-MGARCH did not remove any ARCH effect at all. > > The problem happens will every return series that I have. I also tried > to use ARCH or GARCH for each returns individually, but the > residuals's PACF after using ARCH or GARCH or DCC-MGARCH look just > exact the same like the PACF of the squared returns. > > Do you know why this problem occurs? and What should I do to fix it? > Many thanks for any suggestion. > > Best, > Ranad > * > * 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/