Search found 9 matches
- Wed Sep 06, 2017 3:42 am
- Forum: Econometric Discussions
- Topic: GARCH distribution selection
- Replies: 0
- Views: 2076
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 ...
- Mon Sep 04, 2017 7:09 am
- Forum: Econometric Discussions
- Topic: GARCH AUTOCORRELATION URGENT
- Replies: 0
- Views: 2130
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 ...
- Wed Aug 30, 2017 4:46 am
- Forum: Econometric Discussions
- Topic: AR figures for different periods
- Replies: 0
- Views: 2238
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 ...
- Tue Aug 29, 2017 1:19 pm
- Forum: Econometric Discussions
- Topic: AR and lagged dependent variables
- Replies: 2
- Views: 3409
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? ...
- Tue Aug 29, 2017 9:20 am
- Forum: Econometric Discussions
- Topic: AR and lagged dependent variables
- Replies: 2
- Views: 3409
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?
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?
- Tue Aug 29, 2017 4:45 am
- Forum: Econometric Discussions
- Topic: GARCH day of the week
- Replies: 1
- Views: 2856
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 (...
- Tue Aug 22, 2017 6:43 am
- Forum: Econometric Discussions
- Topic: Fall Dummy variable for SAD hypothesis
- Replies: 3
- Views: 3811
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...
- Fri Aug 11, 2017 4:58 am
- Forum: Econometric Discussions
- Topic: Fall Dummy variable for SAD hypothesis
- Replies: 3
- Views: 3811
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...
- Wed Aug 09, 2017 5:48 am
- Forum: Econometric Discussions
- Topic: date frequency
- Replies: 0
- Views: 2081
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, ...