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K N Badhani
Correlogram
Press OK
Test the joint significance of
autocorrelation up to the given lag-
order.
Correlogram of a Non-Stationary /Unit-Root Process
Unit Root Test
If a series is trend stationary detrend it, or explicitly include trend in your model.
Select lag
order
Lag Length Selection:
Go to
If Cholesky decomposition is
used the sequence of the
variable becomes important
Co integration Test
Here select the appropriate model.
If you are not sure you can get summary of the models (Option 6)
Ho r=0 rejected
-Open VAR
Cointegration equation
normalized to LOGSPOT
AR(1) model
Method of
Estimation
OLS/ARMA
Get results
Go to:
Open-Quick-Estimate Equation
If you have to
estimate
ARCH(1)
model make it
zero
If you have to
estimate ARCH (p)
p=1,2,; change
this accordingly
This is the ARCH (1) coefficient
Test is there further ARCH Effect in residuals using the procedure discussed earlier. Generally
you will observe ARCH effect at higher lag orders as volatility is known to be highly persistent.
Therefore it is better to estimate a GARCH model than an ARCH model.
Estimation of GARCH (1, 1)
Model
Results:
ARCH Coefficient
GARCH Coefficient
Test for Residual ARCH effect (selected lag order 10):
Now ARCH
effect is not
there in the
residuals
Edit - copy
To obtain the conditional Volatility as a variable
Go to
Change this to 1
Change the
model to EARCH
using drop down
Box
GARCH-X Model
If you want to include some additional variables in volatility equation you can do it by putting
the name of the variable in appropriate box. But make sure that the variable should not contain
negative values. For example if you have to study the day-of-the week effect in volatility (say
Monday effect), make a Monday dummy and put the dummy in the box.
Put additional
variable here.