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by minhps34
Mon Aug 12, 2013 3:46 am
Forum: Econometric Discussions
Topic: Trouble with R squared GARCH(1,1)
Replies: 3
Views: 4529

Re: Trouble with R squared GARCH(1,1)

You have done nothing wrong. GARCH models deal with the variance part. Since R-squared is a valid metric only for mean equation, you do not have to worry about its value no matter what the GARCH estimation yields. There are other diagnostics that can be used for checking the validity of your model....
by minhps34
Thu Aug 08, 2013 3:16 am
Forum: Econometric Discussions
Topic: Trouble with R squared GARCH(1,1)
Replies: 3
Views: 4529

Trouble with R squared GARCH(1,1)

Hi all, Please help me as I got the trouble with R squared when attempting to analysing the daily impact of oil price volatility on the performance of stock market following steps. Step 1. Collect data of stock and oil price, make the return (ln(Pt+1/Pt)) and add them to Eviews. Step 2. Group these ...

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