Hello!
I need some help on interpreting the ARCH and GARCH terms of this regression output. The variables are time dummies, M1 representing one month after a shock, M2; two months, M3; 3 and M4; 4 months respectively. So the timeframe is increasing with one month in each model.
Questions:
1. How do I interpret the Arch and Garch terms in each regression?
2. Is it true that the level of persistence is increasing over time, as garch increases every month/regression?
3. And what about the ARCH terms? I cannot find a clear answer on what the coefficient actually means.
Thanks a lot!
I need some help on interpreting the ARCH and GARCH terms of this regression output. The variables are time dummies, M1 representing one month after a shock, M2; two months, M3; 3 and M4; 4 months respectively. So the timeframe is increasing with one month in each model.
Questions:
1. How do I interpret the Arch and Garch terms in each regression?
2. Is it true that the level of persistence is increasing over time, as garch increases every month/regression?
3. And what about the ARCH terms? I cannot find a clear answer on what the coefficient actually means.
Thanks a lot!
| Return | Model 1 | Model 2 | Model 3 | Model 4 | ||||||
| M1 | -0.011*** | |||||||||
| _cons | -0.002*** | |||||||||
| L.arch | 1.249*** | |||||||||
| L.garch | -0.027*** | |||||||||
| M2 Constant L.arch L.garch M3 Constant L.arch L.garch M4 Constant L.arch L.garch |
-0.007*** 0.000 1.132*** -0.001 |
0.002** -0.002*** 0.295*** 0.925*** |
0.001** -0.001*** 0.224*** 1.031*** |
|||||||
| Mean dependent var | -0.002 | -0.002 | -0.002 | -0.002 | ||||||
| Number of obs | 676 | 676 | 676 | 676 | ||||||
 Prob > chi2 |
0.000 | 0.000 | 0.000 | 0.000 | ||||||
