Comparing TGARCH parameter estimates
Posted: Fri Apr 13, 2012 9:33 am
Hi guys,
I’m struggling with finding a way to compare my parameter estimates when I apply an asymmetric GARCH (T-GARCH). I have a serie of stock returns and have established that there are volatility asymmetries present. I have also composed several stock portfolios based on company specifics. When I apply the TGARCH to the different portfolios, some display significant asymmetries and some don’t. Is there any formal test I can apply to be able to conclude that the asymmetry is dependent on company specifics?
As of now I’m using a univariate model, do I need to use a multivariate model instead?
I have also added an additional exogenous variable to the conditional variance equation which is significant in some of the portfolios and insignificant in other. I would like to be able to compare that estimate between portfolios as well.
I’m using eviews 7
Very greatful for any help!
Best regards
Yonaaz
I’m struggling with finding a way to compare my parameter estimates when I apply an asymmetric GARCH (T-GARCH). I have a serie of stock returns and have established that there are volatility asymmetries present. I have also composed several stock portfolios based on company specifics. When I apply the TGARCH to the different portfolios, some display significant asymmetries and some don’t. Is there any formal test I can apply to be able to conclude that the asymmetry is dependent on company specifics?
As of now I’m using a univariate model, do I need to use a multivariate model instead?
I have also added an additional exogenous variable to the conditional variance equation which is significant in some of the portfolios and insignificant in other. I would like to be able to compare that estimate between portfolios as well.
I’m using eviews 7
Very greatful for any help!
Best regards
Yonaaz