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by raisallubis
Sun Apr 30, 2017 2:16 am
Forum: Econometric Discussions
Topic: Necessary of ARMA mean equation in GARCH model
Replies: 0
Views: 500

Necessary of ARMA mean equation in GARCH model

I have estimate monthly data of exchange rate by GARCH model and resulted ARMA (6,8) as the best model among others. Since the lag is too long, it might be presence of some data problems.

Do we need to put our best ARMA model in our estimation to find the GARCH model?
by raisallubis
Wed Apr 26, 2017 1:57 am
Forum: Econometric Discussions
Topic: Cointegration and SVAR
Replies: 0
Views: 431

Cointegration and SVAR

If there is cointegration in our data, should we apply SVAR or not? What was the reason behind it?
by raisallubis
Wed Apr 26, 2017 1:14 am
Forum: Add-in Support
Topic: Making Fan Chart with SVAR forecast
Replies: 0
Views: 870

Making Fan Chart with SVAR forecast

I have resulted Structural VAR analysis forecast of exchange rate shock on CPI and PPI, however I found difficult to make a fan chart of my forecast.
may someone give me recommendations?

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