Search found 6 matches

by erdinc
Thu Jun 28, 2012 10:37 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

I made
%ARCHstring = "!i"

and got some results. I think this is correct solution.
thank you very much
by erdinc
Thu Jun 28, 2012 2:08 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

Sorry it may be very easy or basic for you but the situation is different for me. If it is possible may I ask the solution to get the correct specification if it is not a problem for you?
Thank you very much.
by erdinc
Thu Jun 28, 2012 1:45 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

Dear Gareth, I donot have any programing experience, I just try to use my logic and adopt your program, so I think the syntax is presented at the line “ ‘estimate equation” (?). If so, it should be like this, equation {%eqname}.ARCH({%ARCHstring}, {%GARCHstring}, egarch) {%dep} {%regs} so I think ea...
by erdinc
Thu Jun 28, 2012 10:43 am
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

'Program that calculates the "best" EGARCH specification %eqname = "EQ02" 'name of equation object that will be used. %maxARCH = "9" 'maximum number of ARCH terms %maxGARCH = "9" 'maximum number of GARCH terms %dep = "dow1" 'dependent variable %regs ...
by erdinc
Wed Jun 27, 2012 12:13 pm
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

Thank you,
can you please show me a way to correct that syntax for ARCH/GARCH?
by erdinc
Wed Jun 27, 2012 8:20 am
Forum: Program Repository
Topic: Automatic ARMA selection
Replies: 47
Views: 43976

Re: Automatic ARMA selection

Hi,
can we find the best EGARCH model after we find the best ARMA model by the above program?

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