What is the Fitted values in GARCH estimation?

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marwa
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What is the Fitted values in GARCH estimation?

Postby marwa » Wed Dec 17, 2008 9:56 am

Dear all,
What is the fitted values in GARCH estimations, is it the fitted values for the mean equation or the variance equation?
ALso can I use the J test to compare between GARCH(1,1) and TGARCH models.
What is the best way to compare between different GARCH models, is it the maximum likelihood, or minimum forecasting errors, or what else?
Thank You.

EViews Gareth
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Re: What is the Fitted values in GARCH estimation?

Postby EViews Gareth » Wed Dec 17, 2008 11:23 am

You can output both the fitted mean equation and the fitted variance equation. If you're talking about the "Actual, fitted, residual table" then that is the mean equation.
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marwa
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Re: What is the Fitted values in GARCH estimation?

Postby marwa » Wed Dec 17, 2008 12:42 pm

Thanks Gareth for the prompt reply.
If I want to output the GARCH equation, I go to proc and select the "make the GARCH variance series", is this the fitted variance?

EViews Gareth
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Re: What is the Fitted values in GARCH estimation?

Postby EViews Gareth » Wed Dec 17, 2008 12:45 pm

Yep
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marwa
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Re: What is the Fitted values in GARCH estimation?

Postby marwa » Wed Dec 17, 2008 1:37 pm

Thank you Gareth.
One more question, do you know of any other way to compare among different GARCH type models, I am using the same dependent and independent variables in GARCH (1,1), TGARCH and GARCH in mean, and want to find the model that has the best fit, Should I use the information criteria, or loglikelihood or forecasting errors or do you of any other technique.
Thank you for your help.

Gene
EViews Expert
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Re: What is the Fitted values in GARCH estimation?

Postby Gene » Wed Dec 17, 2008 10:15 pm

marwa wrote:Should I use the information criteria, or loglikelihood or forecasting errors or do you of any other technique.


You can use either information criteria (IC) or loglikelihood. IC might be preferred since they are designed specifically with model selection in mind. Check User's Guide's Appendix F. Information Criteria.

marwa
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Re: What is the Fitted values in GARCH estimation?

Postby marwa » Sun Dec 21, 2008 10:58 pm

Thank you Gene.


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