hetroscedasticity in VAR model
Posted: Sat Jul 05, 2014 3:58 am
Hi
i am working on the return of three indices and their daily standard deviation generated by garch (1,1) with VAR model this including two group of dummy variables. so i have 6 variables overall
my returns are daily return with 530 0bservation. when i do run VAR Model, i do diagnostic test on residuals.
there is no serial correlation, however my model suffer from hetroskidasiticity.
this will bias my result in order to use the t statitics generated by the model. i will be more than happy to hear some advice of how i can deal with hetroscedasticity.
i obtaine 6 ADL equations, can i say that after obtaining the critical values from VAR, to run each ADL equation separately and to estimate it with robust least square ?
thank you
adam
i am working on the return of three indices and their daily standard deviation generated by garch (1,1) with VAR model this including two group of dummy variables. so i have 6 variables overall
my returns are daily return with 530 0bservation. when i do run VAR Model, i do diagnostic test on residuals.
there is no serial correlation, however my model suffer from hetroskidasiticity.
this will bias my result in order to use the t statitics generated by the model. i will be more than happy to hear some advice of how i can deal with hetroscedasticity.
i obtaine 6 ADL equations, can i say that after obtaining the critical values from VAR, to run each ADL equation separately and to estimate it with robust least square ?
thank you
adam