Search found 8 matches
- Sat Aug 08, 2009 2:59 am
- Forum: Estimation
- Topic: Missing values in LOGL series under Bi-variate GARCH
- Replies: 28
- Views: 49096
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...
- Wed Aug 05, 2009 7:32 am
- Forum: Econometric Discussions
- Topic: garch-bekk
- Replies: 6
- Views: 10432
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...
- Wed Aug 05, 2009 7:24 am
- Forum: Econometric Discussions
- Topic: garch-bekk
- Replies: 6
- Views: 10432
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...
- Tue Aug 04, 2009 6:57 am
- Forum: Econometric Discussions
- Topic: garch-bekk
- Replies: 6
- Views: 10432
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)...
- Tue Aug 04, 2009 3:29 am
- Forum: Econometric Discussions
- Topic: garch-bekk
- Replies: 6
- Views: 10432
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 ...
- Fri Jul 31, 2009 6:33 am
- Forum: Econometric Discussions
- Topic: ols
- Replies: 4
- Views: 4911
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...
- Fri Jul 31, 2009 4:27 am
- Forum: Econometric Discussions
- Topic: ols
- Replies: 4
- Views: 4911
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), ...
- Fri Jul 31, 2009 2:38 am
- Forum: Econometric Discussions
- Topic: ols
- Replies: 4
- Views: 4911
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...