Search found 14 matches

by pvestia
Mon Aug 20, 2018 2:23 pm
Forum: Estimation
Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
Replies: 5
Views: 222

Re: What are the steps of forecasting realised volatility of swap rates using EViews?

Hello, Yes with the static forecast you are only abble to forecast One-period because you only have an auto-regressive lag. The result of the dynamic forecast in Eviews I don't understand them quite well. They should converge to zero, but is kind of odd being straight line, I don't know is suppose t...
by pvestia
Mon Aug 20, 2018 9:04 am
Forum: Estimation
Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
Replies: 5
Views: 222

Re: What are the steps of forecasting realised volatility of swap rates using EViews?

Hello David, After checking the correlogram of rt it seems to follow an ARMA(1,1) which you have to estimate the "rt c ar(1) ma(1)". After that you need to conduct the Heteroskedasticity Test, which confirms the ARCH effects. so You need to estimate the ARMA(1,1)-GARCH(1,1). After that to ...
by pvestia
Mon Aug 20, 2018 8:26 am
Forum: Estimation
Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
Replies: 2
Views: 203

Re: Forecasting mean equation of a Multivariate VAR-GARCH: Using code

Please no one?! I just want to know with this procedure I'm doing is a good way to just simulate the errors using the BEKK-GARCH(1,1) model in isolation, then feed those in to solving the mean model, which is a VAR(1).
Please, your feedback is extremely appreciated.
by pvestia
Sat Aug 18, 2018 1:24 pm
Forum: Estimation
Topic: What are the steps of forecasting realised volatility of swap rates using EViews?
Replies: 5
Views: 222

Re: What are the steps of forecasting realised volatility of swap rates using EViews?

can you post the workfile?
Is easier to see what you need to do and understand what are you doing.
by pvestia
Sat Aug 18, 2018 9:47 am
Forum: Estimation
Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
Replies: 2
Views: 203

Re: Forecasting Multivariative GARCH - Using Code

Please someone can help me? It would be extremely appreciated
by pvestia
Wed Aug 15, 2018 7:21 am
Forum: Estimation
Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
Replies: 2
Views: 203

Forecasting mean equation of a Multivariate VAR-GARCH: Using code

Hi, I create a simple code to perform a multi-step forecast of VAR(1)-BEKK-GARCH(1,1) But every time I run the code, the estimated series change every time. Can you guys give a look at the code and tell me with something is wrong or If what I'm doing is right? Thank you in advance. Best regards. ' d...
by pvestia
Tue May 22, 2018 2:15 pm
Forum: Estimation
Topic: State Space - Prediction Intervals?
Replies: 1
Views: 243

State Space - Prediction Intervals?

Hello everybody,

I'm forecasting a serie using state space enviorment, but I notice when I do the forecast I can't get the prediction intervals.
There is a way to get the prediction intervals for my forecasts using state space equation?
Thanks in adnvance

best regards.
by pvestia
Mon May 07, 2018 4:23 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error Improving Likehood

You may have converged to a local optima. Try the starting values from the full model. I tried using only the parameters estimated by the yield-only model as initial values of the same parameters on the yield-macro model and got the same results. Negative likehood (-440) for the yield-macro model a...
by pvestia
Sun May 06, 2018 4:48 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error Improving Likehood

the Likehood is lower than the one with the yields-only. With or without c(72).
by pvestia
Fri May 04, 2018 8:40 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error Improving Likehood

Maybe. But state space models are generally nonlinear in that they don't have closed form solutions, so a search algorithm is necessary. Startz, I estimated the model without the parameter c(72), i.e., I used the value obtained with the yields only model (model where the signals is only the yields ...
by pvestia
Fri May 04, 2018 8:15 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error Improving Likehood

startz wrote:Sometimes nonlinear models are hard to estimate. Try different starting values.


So the difficulty of this model is it because is non-linear on the parameter c(72)?
by pvestia
Fri May 04, 2018 3:54 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error Improving Likehood

please? anyone? I really don't see any error in my specification. and my log-likehood is failing to improve.
by pvestia
Sun Apr 29, 2018 10:36 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

Re: State Space Error on covariance Matrix

Please I really need help.
How the Eviews can't estimate the equation?
I read the paper of the DRA model, over and over. And seems my specification is correct.
So why I get the Warning message? Is it because 3 of the latent factors don't intervene on the signal function?
by pvestia
Fri Apr 27, 2018 9:18 am
Forum: Estimation
Topic: State Space Error Improving Likehood
Replies: 10
Views: 562

State Space Error Improving Likehood

Hello Again, I'm using this post and not create a new one. I already sove the problem if the covariance Matrix. I changed the Initial Values and I was able to get convergence. The problem is now, I get the following message: "error to improve log-likelodd". How can I solve this? I already ...

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