Search found 16 matches
- Fri Aug 19, 2016 1:08 pm
- Forum: Estimation
- Topic: Codes for Capm dbekk
- Replies: 0
- Views: 2304
Codes for Capm dbekk
Hello, I need to write m-garch capm codes through dbekk model. My model is y = mu + res -> y1 = y2*H(1,2)/H(2,2) + mu + res-->> where -->y1= portfolio return, -->y2= market return, -->h(1,2)= conditional covariance between market and portfolio, -->h(2,2) = conditional variance of market portfolio ' ...
- Sat Aug 13, 2016 3:43 pm
- Forum: Estimation
- Topic: Hello I have a question regardinf the variables in m garch bekk codes and the "mu"
- Replies: 0
- Views: 2287
Hello I have a question regardinf the variables in m garch bekk codes and the "mu"
Hello, I have a question regarding the mu in those bekk codes. It is used for calculating the errors of the series. The series do not display White noise. I want to estimate the conditional covariances in the out of sample with the parameters in the in-sample. How can I do that? My two series are au...
- Sun Jul 24, 2016 1:32 pm
- Forum: Estimation
- Topic: mUltivariate GARCH capm
- Replies: 0
- Views: 2846
mUltivariate GARCH capm
Dear colleagues, I need to calculate conditinal betas of several portfolios. For this, I need m-garch codes but the mean equation is rt =λtcov(Rmt, Rit│ Ψt-1) + εt (1) cov(Rmt, Rit│ Ψt-1) =ht==> conditional covariance between market returns and portfolio returns. The conditional covariances are calc...
- Tue Jun 30, 2015 2:31 pm
- Forum: Estimation
- Topic: Rolling mgarch
- Replies: 1
- Views: 3608
Rolling mgarch
Hello, Is it possible to run mgarch dvech mgarch bekk, mgarch ccc and mgarch dcc with one year Windows ? Rolling happens on one day intervals. Garch procedures are recursive in nature. But for my work I may need an additional Rolling feature. I have got data of 10 years. If I calculate conditional c...
- Tue Jun 16, 2015 7:58 am
- Forum: Estimation
- Topic: regarding the results that mgarch dcc produces
- Replies: 6
- Views: 6491
Re: regarding the results that mgarch dcc produces
Thank you Trubador,
- Mon Jun 15, 2015 10:24 am
- Forum: Estimation
- Topic: regarding the results that mgarch dcc produces
- Replies: 6
- Views: 6491
Re: regarding the results that mgarch dcc produces
I actually estimate the covariances indirectly through correlations values. Then I use them to forecast returns. I estimate the difference between the realized and estimated returns for two methods. There I use DM test to estimate whether this difference is significant. So for me of course, not the ...
- Mon Jun 15, 2015 3:31 am
- Forum: Estimation
- Topic: regarding the results that mgarch dcc produces
- Replies: 6
- Views: 6491
Re: regarding the results that mgarch dcc produces
Hello, my workfile and program file are attached. My variables are ehat and ehatm. Those are residual series of autoregressive processes of two return series. The first correlation value is not produced. I will apply diebold mariano test between the results of mgarch ccc and mgarch dcc. However, the...
- Sat Jun 13, 2015 12:43 am
- Forum: Estimation
- Topic: regarding the results that mgarch dcc produces
- Replies: 6
- Views: 6491
regarding the results that mgarch dcc produces
Hello, Below are the codes for my unstructured data I have got 2668 observations but the codes produce 2667 correlations. The first value is given as "NA". If I only write "s1 1 2668" then it does not calculate the logl. So the best result I get comes with the codes below. I woul...
- Wed May 27, 2015 1:28 am
- Forum: Estimation
- Topic: Asymmetric mgarch ccc, dbekk codes
- Replies: 0
- Views: 2051
Asymmetric mgarch ccc, dbekk codes
Hello,
Are there eviews codes regarding the asymmetric mgarch ccc or mgarch diagonal bekk ? I could not model GARCH (1,1) or garch(1,2) for part of my data. I think that asymmetric models might work.
Thank you,
Are there eviews codes regarding the asymmetric mgarch ccc or mgarch diagonal bekk ? I could not model GARCH (1,1) or garch(1,2) for part of my data. I think that asymmetric models might work.
Thank you,
- Fri May 15, 2015 6:11 am
- Forum: Estimation
- Topic: Regarding dcc coding
- Replies: 1
- Views: 3101
Regarding dcc coding
Hello, I have a question regarding mgarch dcc coding. Below is the bivariate mgarch dcc code. There are 2 return series as variables. However, when I also put my return series as variables the garch model residual test indicates autocorrelation between residuals of garch models. So, I built an AR mo...
- Wed May 06, 2015 7:09 am
- Forum: Estimation
- Topic: conditional covariance with mgarch dcc
- Replies: 3
- Views: 6396
Re: conditional covariance with mgarch dcc
Thank you. I took squareroots of garch series when multiplying the conditioanl covariances. But I wrote in the post without the square roots by mistake. So I did it right then. Thank you.
- Fri Apr 24, 2015 2:04 am
- Forum: Estimation
- Topic: conditional covariance with mgarch dcc
- Replies: 3
- Views: 6396
conditional covariance with mgarch dcc
Hello, I need to find conditional covariances between two variables. My method is mgarch dcc. When I run mgarch dcc codes, it produces garch(1), garch(2) and rho. I calculate covariance as covariance=rho*(garch(1)*(garch(2)) as the codes don't produce covariances, it must be the way to estimate cova...
- Fri Apr 17, 2015 4:34 am
- Forum: Add-in Support
- Topic: DMtest - Diebold-Mariano Forecast Evaluation Test
- Replies: 32
- Views: 78077
Re: DMtest - Diebold-Mariano Forecast Evaluation Test
Hello, I have a question about the equation of this add in. What kind of equation should it be? I think that it should not be a time series regression equation because DM test calculates whether the difference is significant between two series which are the series of deviation between the realized a...
- Mon Mar 09, 2015 6:51 am
- Forum: Estimation
- Topic: Regarding the coding of dvech
- Replies: 2
- Views: 3272
Re: Regarding the coding of dvech
thank you very much.
- Mon Mar 09, 2015 3:41 am
- Forum: Estimation
- Topic: Regarding the coding of dvech
- Replies: 2
- Views: 3272
Regarding the coding of dvech
Hello, I am new to eviews. I have codes for dvech in eviews. However, there is one point I want to make sure. Below are my codes: But as I define r1 and r2, should they be the residuals of the main series' equation or the main series itself? On the paper of Jelena Milovic, it says that the variables...