Search found 18 matches

by tg128
Fri Aug 05, 2011 2:17 am
Forum: Estimation
Topic: DCC GARCH model
Replies: 1
Views: 970

DCC GARCH model

I am working on a project ad trying to forecast the conditional corelations for only two assetsb by using DCC GARCH. Could anyone provide the code please or point a direction for writing the code or maybe suggest a good paper containing the equations for the forecast please?
by tg128
Thu Aug 04, 2011 8:18 am
Forum: Estimation
Topic: Dynamic conditional correlation multivariate GARCH
Replies: 72
Views: 65620

Re: Dynamic conditional correlation multivariate GARCH

You can consider this code. I used it last year for my research and you should be ok if using it for the bivariate. For trivariate u need to modify a litle bit especially for the log likelihood function. 'change path to program path %path=@runpath cd %path 'load workfile containing the return serie...
by tg128
Thu Jul 21, 2011 8:03 am
Forum: Econometric Discussions
Topic: How can I read the forcast from a Grach model?
Replies: 0
Views: 327

How can I read the forcast from a Grach model?

Hi, How can I read the forcast from a Grach model please? (please see the attachment)
by tg128
Wed Jul 20, 2011 8:35 am
Forum: Econometric Discussions
Topic: lag selection for GARCH(p,q)
Replies: 0
Views: 530

lag selection for GARCH(p,q)

How can I choose lags for a GARCH model please?

Many thanks!
by tg128
Mon Jul 18, 2011 5:25 am
Forum: Estimation
Topic: Specify mean equation for GARCH(p,q)
Replies: 1
Views: 479

Specify mean equation for GARCH(p,q)

Hi, just wondering how I can specify the mean equation for GARCH(p,q) please? Many thanks!
by tg128
Thu Jun 11, 2009 8:31 am
Forum: Estimation
Topic: Logistic Regerssion
Replies: 3
Views: 4822

Re: Logistic Regerssion

The number of open parenthesis "(" should equal to the number of close parenthesis ")". In your case, it seems one close parenthesis is missing and that's why you are getting the error message. Besides, exponential function is expressed as "exp" not "e" in EV...
by tg128
Wed Jun 10, 2009 3:45 am
Forum: Estimation
Topic: Logistic Regerssion
Replies: 3
Views: 4822

Logistic Regerssion

hi I am trying to construct a logistic regression model. However, when I typed in the equation in the Equation Estimation Window, I have following message 'unmatched parenthesis'. I selected the Method as Binary and my equation looks like below offended_12m_after c ((1+e^(-(d_0_time + d_6_to_10_time...
by tg128
Sun Sep 28, 2008 3:56 pm
Forum: Estimation
Topic: error distributin test
Replies: 3
Views: 2267

Re: error distributin test

I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please? Look at the Jarque-Bera ...
by tg128
Sun Sep 28, 2008 2:04 pm
Forum: Estimation
Topic: error distributin test
Replies: 3
Views: 2267

error distributin test

I have selected the "normal" option for the error distibution when estimate ARCH, however, I cannot find any results regarding to normal distribution from the equation window, how can I tell if the residuals from the my model is normally distributed or not please?
by tg128
Fri Sep 26, 2008 7:04 am
Forum: Programming
Topic: how can I construct ARMA-GARCH model
Replies: 3
Views: 4604

Multivariate GARCH can be estimated in EViews 6's System. System-ARCH supports AR estimation in the mean equations but not MA. AR orders can be different for each mean equation. Lag structures for the variance equations must be identical. the lag structures for the Variance equations are not identi...
by tg128
Tue Sep 23, 2008 9:34 am
Forum: Programming
Topic: how can I construct ARMA-GARCH model
Replies: 3
Views: 4604

how can I construct ARMA-GARCH model

How can I construct a bivariate ARMA-GARCH model when two different series have different lag structures please?
by tg128
Tue Sep 23, 2008 9:30 am
Forum: Programming
Topic: construct ARMA model
Replies: 2
Views: 3928

construct ARMA model

just wondering if there are programming code for constructing ARMA model for the lag length from 0 to 6 for both AR terma and MA terms please? it is very time consuming to do it one by one from esitmate equation window...
many thanks!
by tg128
Tue Sep 23, 2008 8:56 am
Forum: Estimation
Topic: about estimate equation and BDS test
Replies: 4
Views: 5908

QMS Gareth wrote:You cannot estimate more than one equation in an equation object. You'll have to use a System.


right, what if I want to compute information criteria to select ARMA model, how can I use system to do that please?
by tg128
Tue Sep 23, 2008 8:54 am
Forum: Estimation
Topic: Breusch-Godfrey Serial Correlation LM
Replies: 4
Views: 11412

thanks

thanks
by tg128
Tue Sep 23, 2008 8:53 am
Forum: Estimation
Topic: about dummy variables and t-test/ANOVA
Replies: 1
Views: 2537

about dummy variables and t-test/ANOVA

I have created three dummy variables for my regression equation(they are in a GRACH model), after regressing, I have got z-statistics are all significant for the dummy variables, I want to know how can I carry out the t-test/ANOVA to tell if there is any difference among the groups related to three ...

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