Trouble with R squared GARCH(1,1)
Posted: Thu Aug 08, 2013 3:16 am
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 2 time series to one spreadsheet and run the quick Estimate equation for ARCH
Step 3. Equation: r_index c r_bre with Student t distribution
Dependent Variable: R_INDEX
Method: ML - ARCH (Marquardt) - Student's t distribution
Date: 08/08/13 Time: 17:05
Sample: 7/31/2000 7/31/2007
Included observations: 1566
Convergence achieved after 18 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.000232 0.000159 -1.456417 0.1453
R_BRE 0.006947 0.007364 0.943421 0.3455
Variance Equation
C 3.97E-06 8.34E-07 4.753775 0.0000
RESID(-1)^2 0.624449 0.067885 9.198588 0.0000
GARCH(-1) 0.531662 0.027272 19.49468 0.0000
T-DIST. DOF 5.977412 0.668936 8.935705 0.0000
R-squared -0.009211 Mean dependent var 0.001409
Adjusted R-squared -0.009857 S.D. dependent var 0.016978
S.E. of regression 0.017062 Akaike info criterion -6.194896
Sum squared resid 0.455283 Schwarz criterion -6.174373
Log likelihood 4856.603 Hannan-Quinn criter. -6.187267
Durbin-Watson stat 1.284358
>>>> However, i got the trouble with R squared NEGATIVE?
Any one could explain what wrong i have done???
Many thx
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 2 time series to one spreadsheet and run the quick Estimate equation for ARCH
Step 3. Equation: r_index c r_bre with Student t distribution
Dependent Variable: R_INDEX
Method: ML - ARCH (Marquardt) - Student's t distribution
Date: 08/08/13 Time: 17:05
Sample: 7/31/2000 7/31/2007
Included observations: 1566
Convergence achieved after 18 iterations
Presample variance: backcast (parameter = 0.7)
GARCH = C(3) + C(4)*RESID(-1)^2 + C(5)*GARCH(-1)
Variable Coefficient Std. Error z-Statistic Prob.
C -0.000232 0.000159 -1.456417 0.1453
R_BRE 0.006947 0.007364 0.943421 0.3455
Variance Equation
C 3.97E-06 8.34E-07 4.753775 0.0000
RESID(-1)^2 0.624449 0.067885 9.198588 0.0000
GARCH(-1) 0.531662 0.027272 19.49468 0.0000
T-DIST. DOF 5.977412 0.668936 8.935705 0.0000
R-squared -0.009211 Mean dependent var 0.001409
Adjusted R-squared -0.009857 S.D. dependent var 0.016978
S.E. of regression 0.017062 Akaike info criterion -6.194896
Sum squared resid 0.455283 Schwarz criterion -6.174373
Log likelihood 4856.603 Hannan-Quinn criter. -6.187267
Durbin-Watson stat 1.284358
>>>> However, i got the trouble with R squared NEGATIVE?
Any one could explain what wrong i have done???
Many thx