Search found 8 matches

by marta
Sat Aug 08, 2009 2:59 am
Forum: Estimation
Topic: Missing values in LOGL series under Bi-variate GARCH
Replies: 28
Views: 24064

Re: Missing values in LOGL series under Bi-variate GARCH

Initial values are important only because they ease the convergence especially for nonlinear estimations and help avoid local optima. Whatever initial values you supply, the estimation should yield the same result if the solution is global optimum. Therefore, even if you find a better way to assign...
by marta
Wed Aug 05, 2009 7:32 am
Forum: Econometric Discussions
Topic: garch-bekk
Replies: 6
Views: 5548

Re: garch-bekk

Hi, Simply re-size your estimation sample. Find within the code sample s1 07/01/2002 07/04/2008 and replace it by: sample s1 09/01/2002 07/04/2008 I think now it works! Regards Thanks. Do you think I have to re-size also sample s0? and a last question: how can I compute the hedge ratio? h= cov(y1,y...
by marta
Wed Aug 05, 2009 7:24 am
Forum: Econometric Discussions
Topic: garch-bekk
Replies: 6
Views: 5548

Re: garch-bekk

Hi, Simply re-size your estimation sample. Find within the code sample s1 07/01/2002 07/04/2008 and replace it by: sample s1 09/01/2002 07/04/2008 I think now it works! Regards Thanks. Do you think I have to re-size also sample s0? and a last question: how can I compute the hedge ratio? h= cov(y1,y...
by marta
Tue Aug 04, 2009 6:57 am
Forum: Econometric Discussions
Topic: garch-bekk
Replies: 6
Views: 5548

Re: garch-bekk

Hello, Open both the file and the code at the same work file and replace: load eex spot.wf1 with : ‘load eex spot.wf1 Regards thank you. now another error mesage dispays: missing values in @LOGL series at current coefficients at observation 07/02/2002 in "DO_BVGARCH.ML(SHOWPOTS, M=100, C=1E-5)...
by marta
Tue Aug 04, 2009 3:29 am
Forum: Econometric Discussions
Topic: garch-bekk
Replies: 6
Views: 5548

garch-bekk

HI! I am working on my thesis about the hedging effectiveness in the european electricity market. It's the first time I work with eviews (version 5) and I have to perform the hedge ratio with different estimation methods: I have already used the OLS estimation (static and dynamic) and now I want to ...
by marta
Fri Jul 31, 2009 6:33 am
Forum: Econometric Discussions
Topic: ols
Replies: 4
Views: 2043

Re: ols

Well, I am afraid it will be very difficult to make electricity prices data stationary, since the data will probably be very persistent (e.g. high serial correlation) due to the properties of the market. If I were you, I would consider non-stationary methods and/or multivariate variance modeling te...
by marta
Fri Jul 31, 2009 4:27 am
Forum: Econometric Discussions
Topic: ols
Replies: 4
Views: 2043

Re: ols

Results are expected since both your variables are appear to be non-stationary. You can search the forum starting from here . Thanks for your help. If I have understood well, both prices of spot and futures are non-stationary, but when I consider the returns (as the first difference of logarithm), ...
by marta
Fri Jul 31, 2009 2:38 am
Forum: Econometric Discussions
Topic: ols
Replies: 4
Views: 2043

ols

Hi, I am working on my thesis about the hedging effectiveness of the european electricity markets, but I have some problems since it's my first time I use eviews. My version is evews5. First of all, I am working on the returns and not on the prices of the electricity. But when I run an OLS estimatio...

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