m-garch problems
Posted: Fri Apr 05, 2013 7:49 am
I estimated m-garch model to find out the link between risk and return
Variable Coefficient Std. Error z-Statistic Prob.
GARCH 3.232051 2.529634 1.277676 0.2014
C -0.004171 0.007056 -0.591062 0.5545
AR(1) -0.616002 0.149786 -4.112560 0.0000
MA(1) 0.748104 0.129693 5.768284 0.0000
Variance Equation
C 0.000110 5.24E-05 2.103586 0.0354
RESID(-1)^2 0.064623 0.019164 3.372034 0.0007
GARCH(-1) 0.902313 0.025534 35.33820 0.0000
I dont know why my garch coefficient is not significant while all its components ( resid and garch(-1) ) are significant. Can I conclude that there is the link between risk (resid) and return because coefficient of resid is significant?
Variable Coefficient Std. Error z-Statistic Prob.
GARCH 3.232051 2.529634 1.277676 0.2014
C -0.004171 0.007056 -0.591062 0.5545
AR(1) -0.616002 0.149786 -4.112560 0.0000
MA(1) 0.748104 0.129693 5.768284 0.0000
Variance Equation
C 0.000110 5.24E-05 2.103586 0.0354
RESID(-1)^2 0.064623 0.019164 3.372034 0.0007
GARCH(-1) 0.902313 0.025534 35.33820 0.0000
I dont know why my garch coefficient is not significant while all its components ( resid and garch(-1) ) are significant. Can I conclude that there is the link between risk (resid) and return because coefficient of resid is significant?