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ARMA(0,0) model
Posted: Fri Sep 20, 2013 7:48 am
by sir_alex92
I'm studying a papers about the hedging for US dollar with gold. In this papers, author uses ARMA(0,0)-TGARCH(1,1) as the marginal distribution model for gold's return, i dont understand what the model ARMA(0,0) means. Can anyone help me out with this? And how can you estimate such a model with eviews?
Re: ARMA(0,0) model
Posted: Fri Sep 20, 2013 7:52 am
by startz
ARMA means autoregressive-moving average. ARMA(0,0) means the equation contains neither autoregressive nor moving average terms. As a guess, the author has the mean equation simply being a constant.
Re: ARMA(0,0) model
Posted: Sat Sep 21, 2013 9:20 am
by sir_alex92
Tks you, Startz.
there is another thing, in this papers, the author states that he use ARMA(0,0)-TGARCH(1,1) as the marginal distribution function of his variables. suppose i have estimate this model how can i transform it into the quantile function of my variables?