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Dear friends, I am working with time series of yield spreads on bonds that are all non-normally distributed, and are very skewed to the right (the skewness is greater than 2 in some of the cases). I therefore believe I should calculate bootstrapped p-values for the test statistics. Does anyone know ...

Dear all,

What should I do when I obtain coefficients of GARCH (1,1) that sum up to more than one?

I would be grateful for your reply.

Many thanks, Trubador, I truly appreciate it.

Michelle.

Dear Trubador, This is actually a cointegration model. Russia's spreads are indeed I(1), rather than I(0), however also one of the explanatory variables (spreads of other countries), and therefore, if there is cointegration, the residuals should be stationary, and they really are. I have also tried ...

Dear Trubador, Many thanks for your prompt reply. Unfortunately, I am not allowed to post the raw data, due to copy rights issues (these are J.P. Morgan's Russia's soverign yield spreads, in basis points). I am therefore sending one of the EViews cointegration outputs, that reflects the too-big coef...

Dear Forum participants, Firstly I would like to introduce myself: my name is Michelle and I am a new member in this forum. I am currently estimating a model for sovereign yield spreads, to which I have introduced a group of various GARCH effects, to capture clusters of volatility that characterize ...