Some questions regarding ARCH
Posted: 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
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