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  • Time series: Heteroskedasticity - arch-garch model

    Good Evening,

    i would like ask you 2 questions:
    1) What is the correct command in STATA 15 SE for estimate a Model AR(1) with error GARCH(1,1) ?
    2) How can I make a relative graph automatically?
    3) How can I comment on the data obtained in a GARCH (1,1) MODEL? I mean i launched a regression and the sum of the parameters Arch and Garch is greater than one! (Arch L1= 0,15 and Garch L1= 1,05). Is it correct? How can I resolve it?
    Thanks a lot. I need help for my research job in Bank.
    Michele Viola

  • #2
    Previously posted in the General Forum at

    https://www.statalist.org/forums/for...ch-garch-model

    which is the appropriate forum, since the Mata Forum which is intended for discussions of Stata's Mata language and viewed by fewer members than the General Forum.

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    • #3
      Thanks for advice!
      M.V.

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