Search found 5 matches

by Rantul
Wed Apr 17, 2019 11:58 am
Forum: Programming
Topic: Coefficient Matrix 4x4 for AG-DCC GARCH
Replies: 0
Views: 2630

Coefficient Matrix 4x4 for AG-DCC GARCH

I´m trying to programm a AG-DCC GARCH model in matricial model, but i can´t create a 4x4 matrix coefficient in the append section (it is only posible to create a vector coefficient in eviews?). It is Possible???
by Rantul
Sat Apr 15, 2017 3:22 pm
Forum: Programming
Topic: Filtering regressions with significant parameters
Replies: 6
Views: 4371

Re: Filtering regressions with significant parameters

To make sure than the GARCH model is well specified. If the variance has no asymmetry, it does not make sense to use a GARCH with asymmetry to model the residuals. (i need to calculate the standard residuals)
by Rantul
Sat Apr 15, 2017 8:54 am
Forum: Programming
Topic: Filtering regressions with significant parameters
Replies: 6
Views: 4371

Re: Filtering regressions with significant parameters

I need to choose within a combination of time series models (garch models), and I need the model with the best information criterion to have all the parameters significant at least 5% (and that the residuals are random). with 37,200 calculated regressions, I wanted to know if there is a faster way P...
by Rantul
Fri Apr 14, 2017 7:44 pm
Forum: Programming
Topic: Filtering regressions with significant parameters
Replies: 6
Views: 4371

Filtering regressions with significant parameters

I have calculated 37,200 regressions and I would like to filter out those that have all their significant parameters at 5%, is it possible to program this? :P

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