Testing for asymmetry relation stock and oil return (garch)
Posted: Fri Nov 20, 2009 3:24 pm
Hi all,
I am using a multifactor market model to test for the relation between Stock returns and oil returns. I included oil variance, market returns, interest spread and 2 dummy variables for oil up and oil down:
Return stocks = B market return + B interest rate spread + B (Dummy 1) x Oil return + B (Dummy 2) x Oil return + B oil volatility + error term
Dummy 1 = 0 if oil price goes up and 1 otherwise
Dummy 2 = 1 if oil price goes up and 0 otherwise
I'm using garch because there are arch effects, heteroscedasticity and autocorrelation. I am looking for a test that tests if the coefficient on dummy 1 = dummy 2 (so if an oil price increase has the same impact as an oil price decrease). Does someone know which test in eviews can provide me with the answer?
Thanks
Bert (the netherlands)
I am using a multifactor market model to test for the relation between Stock returns and oil returns. I included oil variance, market returns, interest spread and 2 dummy variables for oil up and oil down:
Return stocks = B market return + B interest rate spread + B (Dummy 1) x Oil return + B (Dummy 2) x Oil return + B oil volatility + error term
Dummy 1 = 0 if oil price goes up and 1 otherwise
Dummy 2 = 1 if oil price goes up and 0 otherwise
I'm using garch because there are arch effects, heteroscedasticity and autocorrelation. I am looking for a test that tests if the coefficient on dummy 1 = dummy 2 (so if an oil price increase has the same impact as an oil price decrease). Does someone know which test in eviews can provide me with the answer?
Thanks
Bert (the netherlands)