GARCH day of the week
Posted: Tue Aug 29, 2017 4:45 am
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 (-5) lag as i had seen it in another paper (stupid i know) so i ran it again using (-1) which worked. however my question is, do i use the ARMA model in the OLS regression and interpret the results, or do i run the OLS the way i have explained, then use ARMA to construct the GARCH model?
so in other words, is ARMA part of OLS do remove serial correlation, or is it just a way of removing serial correlation in order to make my equation suitable for GARCH?
when running the GARCH model i simply wrote into the command: arch(1,1) return c gday return(-5)/(-1)
thanks
hugh
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 (-5) lag as i had seen it in another paper (stupid i know) so i ran it again using (-1) which worked. however my question is, do i use the ARMA model in the OLS regression and interpret the results, or do i run the OLS the way i have explained, then use ARMA to construct the GARCH model?
so in other words, is ARMA part of OLS do remove serial correlation, or is it just a way of removing serial correlation in order to make my equation suitable for GARCH?
when running the GARCH model i simply wrote into the command: arch(1,1) return c gday return(-5)/(-1)
thanks
hugh