Search found 9 matches

by hmurphy94
Wed Sep 06, 2017 3:42 am
Forum: Econometric Discussions
Topic: GARCH distribution selection
Replies: 0
Views: 288

GARCH distribution selection

hi in my models, if i use GED for the distribution the results come back fine. however in some cases i cant remove the autocorrelation or ARCH effects. they remove however if i change to student t or normal distribution. however, are the results in valid if for one index or subperiod it is normally ...
by hmurphy94
Mon Sep 04, 2017 7:09 am
Forum: Econometric Discussions
Topic: GARCH AUTOCORRELATION URGENT
Replies: 0
Views: 301

GARCH AUTOCORRELATION URGENT

hi i am testing three seasonal effects and recently realised i had an issue with my work, so i changed some stuff and now i cant seem to remove the autocorrelation? i have used automatic arima forecast to determine the lags by minimising the SIC, but when i used this arma model is doesnt remove the ...
by hmurphy94
Wed Aug 30, 2017 4:46 am
Forum: Econometric Discussions
Topic: AR figures for different periods
Replies: 0
Views: 303

AR figures for different periods

hi i used the automatic arima forecast to determine the order of AR in my series in order to put an equation into a garch model. i am testing the day of the week effect and using 'p' lagged variables, do i also need to include the MA terms? also, i am testing over different periods, do i need to do ...
by hmurphy94
Tue Aug 29, 2017 1:19 pm
Forum: Econometric Discussions
Topic: AR and lagged dependent variables
Replies: 2
Views: 400

Re: AR and lagged dependent variables

ok thanks so i should run the OLS with ar(1) then after put it into the GARCH model? or do i need to include MA terms? also, when using the ARIMA function for my return series, it says maximum ar and maximum ma options, should they be five as there are five days or should i keep it at default four? ...
by hmurphy94
Tue Aug 29, 2017 9:20 am
Forum: Econometric Discussions
Topic: AR and lagged dependent variables
Replies: 2
Views: 400

AR and lagged dependent variables

hi

i want to test the day of the week effect using both OLS and GARCH

for the OLS part, i see in some papers that they simply use a lagged dependent variable such as return(-5) for 5 week days. other papers use ar(1) , however does using ar(1) mean the model is no longer OLS?
by hmurphy94
Tue Aug 29, 2017 4:45 am
Forum: Econometric Discussions
Topic: GARCH day of the week
Replies: 1
Views: 330

GARCH day of the week

hi i am currently doing a masters thesis on calendar effects on the shanghai stock exchange and so close to the deadline i think ive made a huge mistake. i am using OLS then using GARCH and showing how the results change. for the day of the week effect i ran: ls return c gday return(-5) i used the (...
by hmurphy94
Tue Aug 22, 2017 6:43 am
Forum: Econometric Discussions
Topic: Fall Dummy variable for SAD hypothesis
Replies: 3
Views: 387

Re: Fall Dummy variable for SAD hypothesis

hi thank you for your response. however, when trying to make the dummy variable between the 21st december and the 20th match, all values are 0? is this because the dummy is spanning over different calendar years? the same thing happened when i tried to the a dummy from the 21st sept to 20th march. d...
by hmurphy94
Fri Aug 11, 2017 4:58 am
Forum: Econometric Discussions
Topic: Fall Dummy variable for SAD hypothesis
Replies: 3
Views: 387

Fall Dummy variable for SAD hypothesis

hi i have daily data to test the see composite index. i want to create a dummy variable that equals 1 between 21st of september and 20th december, and one that equals 1 between 21st december and 20th march for all years. however, i seem to be only able to create it for one year of the sample using s...
by hmurphy94
Wed Aug 09, 2017 5:48 am
Forum: Econometric Discussions
Topic: date frequency
Replies: 0
Views: 201

date frequency

hi i am doing a thesis that tests the day of the week effect and the january effect on the sse composite index. i have conducted the tests for d-o-t-w and i have followed the frequency conversion slides to change my daily first difference log returns into the average for each month. my question is, ...

Go to advanced search