Multivariate GARCH in-sample and out-sample forecast
Posted: Tue Mar 30, 2010 1:03 pm
Hi,
I am developing a time-varying hedge ratios (CAPM) model using Multivariate GARCH, with both the VECH and BEKK specifications for my thesis. I have the time-varying betas, however, I am unable to forecast them. I need a program or a manual method for the in-sample and out-of-sample forecast of the betas.
The program used to derive the time-varying betas is as follows:
system arbeta
arbeta.append y1 = c(1)
arbeta.append y2 = c(2)
arbeta.arch @Diagvech c(indef) arch(1,indef) garch(1,indef)
arbeta.makegarch(name=arch)
series beta_arch_vech = arch01_02/arch01
show beta_arch_vech.line
' calculate beta with system ARCH
' by estimating the covariance and variance of
' the two series using Multivariate ARCH - BEKK
'------------------------------------------------------------------------
system arbeta
arbeta.append y1 = c(1)
arbeta.append y2 = c(2)
arbeta.arch @Diagbekk c(full) arch(1) garch(1)
arbeta.makegarch(name=arch)
series beta_arch_bekk = arch01_02/arch01
show beta_arch_bekk.line
A quick response will be helpful!
Thanks!
Uma
I am developing a time-varying hedge ratios (CAPM) model using Multivariate GARCH, with both the VECH and BEKK specifications for my thesis. I have the time-varying betas, however, I am unable to forecast them. I need a program or a manual method for the in-sample and out-of-sample forecast of the betas.
The program used to derive the time-varying betas is as follows:
system arbeta
arbeta.append y1 = c(1)
arbeta.append y2 = c(2)
arbeta.arch @Diagvech c(indef) arch(1,indef) garch(1,indef)
arbeta.makegarch(name=arch)
series beta_arch_vech = arch01_02/arch01
show beta_arch_vech.line
' calculate beta with system ARCH
' by estimating the covariance and variance of
' the two series using Multivariate ARCH - BEKK
'------------------------------------------------------------------------
system arbeta
arbeta.append y1 = c(1)
arbeta.append y2 = c(2)
arbeta.arch @Diagbekk c(full) arch(1) garch(1)
arbeta.makegarch(name=arch)
series beta_arch_bekk = arch01_02/arch01
show beta_arch_bekk.line
A quick response will be helpful!
Thanks!
Uma