arch

  1. L

    AR(1)-ARCH(1) modeling

    I don't really know if this is the right place to ask for this, but maybe someone could guide me on the process of fitting AR(1)-GARCH(1) model in R. I would like to model daily NASDAQ returns. I have a basic excel sheet data set with two columns (first column includes date and the second...
  2. M

    ARCH-process with exponencial variance function

    I need some help for a proof regarding Engles ARCH-paper from 1982. For an ARCH-process with a variance function h_t = exp(a_0 + a_1 y_{t-1}^2) he states, that the data generatet from this model has infinite variance (or goes to infinity) whenever a_1 is not zero. I need to explain why...
  3. A

    Is AR(1)-ARCH(1) covariance stationary?

    I'm becoming confused by this. Say I have the following model: I know that an AR(1) is covariance stationary if |\phi|<1. I also know that an ARCH(1) is covariance stationary if \alpha_0, \alpha_1>0 and \alpha_1<1 . If those conditions hold does that imply that an AR(1)-ARCH(1) is...
  4. C

    Modeling ARCH effects in Vector Autoregression

    Hi all, I have constructed a VAR(p) model with 3 time series in Stata. When I predict the residuals and run an AR(p) model (with p=1, 2, 3, and 4) on the residuals, I get significant lag coefficients (i.e. ARCH effects). I learned that I could now model the residuals using those AR(p)...
  5. A

    GARCH fitting to binary data / latent data

    Dear all I am trying to fit a simple ARCH(1)/GARCH(1,1) model to a set of binary data, i.e. I assume a latent GARCH process that is only observed at the values a and b, say (whenever it crosses or hits those thresholds). I found some ideas on fitting a censored GARCH (by SX Wei, for example...
  6. W

    Arch to estimate volatility of equity

    Hi, I'm using stata 12 to estimate volatility of equity. My series is non-stationary and I want to use a arch(p,q) arch(1) model to estimate it. Equity = stock price x number of stocks I have 1500 observations divided into 23 quarters. I want to estimate volatility of equity per quarter. How...
  7. S

    ARCH & GARCH estimation in STATA

    Hello, I have a problem in estimating an ARCH regression model. The following error message is displayed repeatedly by STATA. _TS_p_delta_getnumb(): 3499 strtoreal() not found _TS_p_delta_increment(): - function returned error _TS_p_delta(): - function...