simulate arch(1) & arch(2)
Posted: Sun Mar 26, 2017 1:58 pm
Hi everyone
I have problem with this two code, i get NA series after the first observation for the 1st code, and i get error message for the second code.
i would highly appreciate if any of you could help me!
1/first code ARCH(1)
2/ second code
I have problem with this two code, i get NA series after the first observation for the 1st code, and i get error message for the second code.
i would highly appreciate if any of you could help me!
1/first code ARCH(1)
Code: Select all
' program 1 simulation ARCH(1)
wfcreate u 1000
smpl @all
'define series: normal innovation (z),variance (vr), error (e), return (r)
series z= nrnd
series vr
series e
series r
'initialize the series to start the recursion, the vr starts at the unconditional variance value of 4
smpl @first @first
vr=4
e = @sqrt(vr)*z
r= 2+e
'start the recursion from 2 to the number of observations you wish to generate we have set omega = 2 and alpha = 0.5
smpl @first+1 @last
vr=2+0.5*e^2
e = @sqrt(vr)*z
r= 2+e
smpl @allCode: Select all
' program 2 simulation ARCH(2)
wfcreate u 1000
smpl @all
'define series: normal innovation (z),variance (vr), error (e), return (r)
series z= nrnd
series vr
series e
series r
'initialize the series to start the recursion, the vr starts at the unconditional variance value of 2.5
smpl @first @first+1
vr(1)=2.5
vr(2)=vr(1)
e(1) = @sqrt(vr(1))*z
e(2)=@sqrt(vr(1))*z
r(1)= 2+e(1)
r(2)= 2+e(2)
'start the recursion from 3 to the number of observations you wish to generate we have set omega = 2 and alpha1 = 0.5, alpha 2= 0.3
smpl @first+2 @last
vr=2+0.5*e^2+0.3*e^2
e = @sqrt(vr)*z
r= 2+e
smpl @all
, could you solve this Mr startz.