EViews.com

I am doing an ARMA-GARCH estimation on sp500 in the most recent 30 years. But if I get an "optimal" ARMA specification based on AIC, SIC, and then fit it into an ARMA-GARCH model, both values and significance of coefficients of ARMA factors will change badly. I found some papers saying tha...

OK, I'll try it again from the very start in a school's computer to see if I can get a normal result. Thank you very much, Gareth.

BTW, could you give me the workfile which you got a good result with? Thanks.

The built date of the copy in my computer is 30 Jun 2011. It's Eviews 7.2. I also tried Eviews 8 in a computer in the school computer lab and it gave the same NAs. But I can't get the built date of that copy right now.

When the equation came out, I checked the "Resids" and the figure was weird so I went to "Actual, Fitted, Residual Table" and found those NAs.

What did you do that resulted in NA fitted values? I went to Quick-Estimate Equation, then selected ARCH method. Line in the mean equation window was "ex_rt c dum01 dum02 AR(1) MA(1) MA(2) MA(6)". ARCH-M was "variance". For the variance section, model was GARCH/TGARCH. Order: AR...

We'd need to see the workfile.

The summary statistics are for the mean equation.

Hi Gareth,

Here is my workfile. https://www.dropbox.com/s/u2p9qkuxulavf ... 4.wf1?dl=0 The problem is in the equation "variance_in_mean".

Thanks a lot.

Hi, I'm asked to perform a GARCH model of excess return of sp500 ranging from 2003M01 to 2013M12. I got my ARMA model with 2 dummy variables. The independent variables are: dum01 dum02 AR(1) MA(1) MA(2) MA(6). dum01=1 from 2003 to 2007. dum02=1 from 2008 to 2009. But when I tried to estimate a GARCH...