Search found 14 matches
- 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: 5041
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...
- 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: 5041
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 ...
- Mon Aug 20, 2018 8:26 am
- Forum: Estimation
- Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
- Replies: 2
- Views: 3617
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.
Please, your feedback is extremely appreciated.
- 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: 5041
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.
Is easier to see what you need to do and understand what are you doing.
- Sat Aug 18, 2018 9:47 am
- Forum: Estimation
- Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
- Replies: 2
- Views: 3617
Re: Forecasting Multivariative GARCH - Using Code
Please someone can help me? It would be extremely appreciated
- Wed Aug 15, 2018 7:21 am
- Forum: Estimation
- Topic: Forecasting mean equation of a Multivariate VAR-GARCH: Using code
- Replies: 2
- Views: 3617
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...
- Tue May 22, 2018 2:15 pm
- Forum: Estimation
- Topic: State Space - Prediction Intervals?
- Replies: 1
- Views: 2527
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.
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.
- Mon May 07, 2018 4:23 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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...
- Sun May 06, 2018 4:48 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
Re: State Space Error Improving Likehood
the Likehood is lower than the one with the yields-only. With or without c(72).
- Fri May 04, 2018 8:40 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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 ...
- Fri May 04, 2018 8:15 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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)?
- Fri May 04, 2018 3:54 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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.
- Sun Apr 29, 2018 10:36 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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?
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?
- Fri Apr 27, 2018 9:18 am
- Forum: Estimation
- Topic: State Space Error Improving Likehood
- Replies: 10
- Views: 7070
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 ...