1. R

    GJR-GARCH modelling in EViews

    I am trying to use a GJR-GARCH model for returns of ftse100 index over the last 20 years using daily data. I have run: "rftse c" However, in the variance equation, the ARCH parameter (alpha) has a negative coefficient, which, as I understand, violates the non-negativity conditions. As in Brooks...
  2. J

    Causality test

    Do you know what is the "Hafner and Herwartz" causality-in-variance test, or else called LM-GARCH? And how you run it on eviews (or gretl)? If I have understood it well, it is a Granger causality test between Garch standardized residuals. Is this correct? Any help would be very much...
  3. P

    GARCH modelling and forecasting

    Hi, I have a few questions regarding GARCH modelling and forecasting and it would be great if someone could help me. I am modelling oil spot prices log-return using various GARCH models: GARCH, APARCH, EGARCH... and I am trying to forecast the prices. I found using ACF and PACF plots that the...
  4. T

    T series stationarity

    hay guys, i'm working on garch models, but a cant turn my returns stationary. how can i do it? i've tried whit log return (logxt - logxt-1) but it doesn't work. r function: log.return<-dff(log(x)) i've implemented some test and these are the results: #######KPSS Test for Trend...
  5. V

    Asynchronous DCC-GARCH

    Has anyone worked on an Asynchronous or Threshold DCC-GARCH in STATA? I've been trying to figure out how to write the code and am looking for a solution. I"m aware that there is no asynchronous options implemented in the existing mgarch dcc least that I can find. Thanks...
  6. T

    Predicting y_hat from a ARCH model

    Hi, I want to do something very easy, but it doesnt work! I need to see the predictions (and errors) of a GARCH model. The Main Variable es "dowclose", and my idea is look if the GARCH model has a good fitting on this variable. Im using this easy code, but the prediction are just 0's...
  7. H

    Problems with some financial time-series

    Hello, For my thesis I was given the assignment to research the effect of macroeconomic news on stocks. I chose to investigate the effect of US announcements coming from the BLS on the Brazilian stock market. In my case I wanted to check if the announcements would have a significant effect on...
  8. S

    different results from mean equation in regress VS dcc garch

    can anyone explain why the results of doing regress var1 L.var1, noconstant are different than the results from doing DCC GARCH using the previous equation as the mean equation? the result should be exactly the same, right? thanks
  9. 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...
  10. O

    Problem with allocating data

    Hello, Im currently writing my bachelor thesis in statistical finance and i have run into a small problem. I want to evaluate forcasts from my GARCH with realized intraday volatility. The intraday data is Tick-data over a certain period. The date column is presented as for example 2011-11-01...
  11. J

    GARCH output basic question

    This is likely an absurdly basic question, but how are the parameter estimates in a GARCH(1,1) model interpreted...specifically the AR1, AR2, ARCH0, ARCH1, and GARCH1? Here's a copy of my output: Algorithm converged. GARCH Estimates...
  12. 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...
  13. S

    Question about finding MLE asymptotic standard error in AR(1)-garch(3,1) model in SAS

    The AR(1)-GARCH(3,1) model is as follows: Y(t) = e(t) - phi * Y(t-1) ---> AR(1), where phi is the parameter e(t) = sqrt(h(t)) * error(t) ---> error(t) follows N(0,1) iid h(t) = w + alpha * [e(t-1)**2] + gamma1 * h(t-1) + gamma2 * h(t-2) + gamma3 * h(t-3) ---> GARCH(3,1), where w, alpha...