Steps of the realization of a GARCH / EGARCH / TGARCH model

[Tahiry Raz]

Hi everyone

I have a question for you. In the framework of a financial econometric projet, I decided to study the volatility of Bitcoin and to compare it with others financial assets (S&P500, EUR/USD, Euribor 3m, LBMA Gold cash among others ...). Indeed, I want to show how Bitcoin reacts when there is a good/bad announcement and how we can use it in portfolio management strategies as a "normal" asset.

That's why, I want to imply, first, a GARCH model, and then, an EGARCH and a TGARCH model using STATA.

But the problem is that I never used this before so I can't realize it without you guys !

Is someone know, concretely, all the steps that I have to do in order to realize :
1) GARCH model
2) EGARCH model
3) TGARCH model ?

By the word "step", I mean concretely which tests (graphs, statistics) I have to implement ?
For ex: How to define the parameters (p,q) ?

I guess that it is a long process and that it would be "boring" to answer this question but please help me ahah
(I have sought without success in the textbooks and in internet but there is only some theoretical things ...)

Thank you in advance guys

Tahiry

[Nick Cox]

Tahiry: I note that there are about 35 pages in the arch section of the TS manual which seems to me as concrete as you could possibly want. And another section yet on post-estimation steps. And References too. They really should help.

I too have never used these models and have no incentive to learn right now, but you're welcome to ask much more specific questions and see who else answers.

[Tahiry Raz]

Thank you for the answer.
So my question is :
- How to define the parameters (p,q) of the GARCH model?
- How to explain the graphic of the correlogram and the partial correlogram ?