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### simulate arch(1) & arch(2)

Posted: Sun Mar 26, 2017 1:58 pm
Hi everyone
I have problem with this two code, i get NA series after the first observation for the 1st code, and i get error message for the second code.
i would highly appreciate if any of you could help me!
1/first code ARCH(1)

Code: Select all

`' program 1 simulation ARCH(1)wfcreate u 1000smpl @all'define series: normal innovation (z),variance (vr), error (e), return (r)series z= nrndseries vrseries eseries r'initialize the series to start the recursion, the vr starts at the unconditional variance value of 4smpl @first @firstvr=4e = @sqrt(vr)*zr= 2+e'start the recursion from 2 to the number of observations you wish to generate we have set omega = 2 and alpha = 0.5smpl @first+1 @lastvr=2+0.5*e^2e = @sqrt(vr)*zr= 2+esmpl @all`

2/ second code

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`' program 2 simulation ARCH(2)wfcreate u 1000smpl @all'define series: normal innovation (z),variance (vr), error (e), return (r)series z= nrndseries vrseries eseries r'initialize the series to start the recursion, the vr starts at the unconditional variance value of 2.5smpl @first @first+1vr(1)=2.5vr(2)=vr(1)e(1) = @sqrt(vr(1))*ze(2)=@sqrt(vr(1))*zr(1)= 2+e(1)r(2)= 2+e(2)'start the recursion from 3 to the number of observations you wish to generate we have set omega = 2 and alpha1 = 0.5, alpha 2= 0.3smpl @first+2 @lastvr=2+0.5*e^2+0.3*e^2e = @sqrt(vr)*zr= 2+esmpl @all`

### Re: simulate arch(1) & arch(2)

Posted: Sun Mar 26, 2017 2:38 pm
In the first program you've only defined e for the first observation.

### Re: simulate arch(1) & arch(2)

Posted: Mon Mar 27, 2017 11:21 am
1/Got it! Mr startz, the first code work perfectly now, but the second code after some modification it work but i get NA from the third obs to the last.
Any help. the second code is attached below.
2/another question: if i would like to simulate ARCH(p) should be the variances in the second part of my program be equal (vr1=vr2=vr3...etc) or not?

### Re: simulate arch(1) & arch(2)

Posted: Mon Mar 27, 2017 11:52 am
Only the first two observations for VR are set before you use the whole series.

### Re: simulate arch(1) & arch(2)

Posted: Mon Mar 27, 2017 1:58 pm
No idea!, whats wrong with the code

### Re: simulate arch(1) & arch(2)

Posted: Mon Mar 27, 2017 2:19 pm
At the bottom of the code you set vr to depend on e. But at that point only two elements of e have been set.

### Re: simulate arch(1) & arch(2)

Posted: Tue Mar 28, 2017 11:56 am
I don't follow you , could you solve this Mr startz.

### Re: simulate arch(1) & arch(2)

Posted: Thu Mar 30, 2017 1:26 am