Some questions regarding ARCH

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starter
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Joined: Tue Oct 27, 2009 7:27 am

Some questions regarding ARCH

Postby starter » Mon Nov 02, 2009 7:31 am

Hi!

Today I have some questions regarding ARCH:
- type of data: inflation-rates. I model the mean of the inflation-rate via ARMA-model and some regressors. After adding ARCH some of my regressors in the mean equation become insignificant. Shall I throw these regressors out of my model or is it better to keep them, because they belong to the mean- and not to the volatility-equation?
- if using ARCH with GED: How is it possible to generate interval forecasts (10-90% percentiles)? Does there exist tables for the GED to derive percentiles?

Thank you very much!!!

Best regards,
starter
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