I am trying to messure volatility of return on stock index by using GARCH(1,1) but the ARCH-LM test results show that there is ARCH effect in the residuals after fitting GARCH(1,1). I used ARIMA for the mean equation. I also tried GARCH(1,2) and GARCH(2,1) but there is still ARCH effect. How can I solve this problem in Stata? Great thanks to any help!
Related Posts with ARCH effect after fitting GARCH(1,1)
spmap command produces only a fraction of the intended mapHello! I'm trying to draw a map that shows proportion of households in a state that report a migrant…
t(100) specificationI have received the following request from one of our clients: PDF codebooks Please use the t(100)…
Duplicating a long IDDear Statalisters, I am working on a panel data set to uniquely identify respondents across time. I…
-cem- and treated vs untreatedHello stata-users, When using -cem- matching approach, I get 3 variables cem_strata, cem_matched, an…
Coefficient Matrix in Unconditional Quantile RegressionsI am running models with the ivqte command, which estimates unconditional quantile regressions, as d…
Subscribe to:
Post Comments (Atom)
0 Response to ARCH effect after fitting GARCH(1,1)
Post a Comment