Estimating a GARCH model in Stata

[@TheOsayilir]

Perfect explanation of the logic 👌

[@peteradam942]

The acf and pacf plots are significant for detecting the orders in ARIMA model.

[@geetaraniduppati433]

Thanks and this video is very clear and helpful

[@archiecannon4133]

Great video. How come you use the simple returns of Apple rather than the log returns?

[@michaellaukeji9412]

Thanks for your video. Please how do one now go about calculating the conditional variance? I need the exchange rate volatility data.

[@AliMna-h5p]

Thank you

[@pardeeppuhar5146]

you legend thanks

[@markusmonteiro5307]

Thank you for this

[@mikejonaseconometrics1886]

My pleasure!

[@kumigong5856]

that's helpful but when I am doing the gen r command all the value are missed plz help

[@andyshi8627]

thanks a lot for the video. one more question: arima(1,0,1) coefficients is not significant any more when arch model is established, should we revise the arima model?

[@martaarespa4569]

Thanks for this helpful video. Would you know where to find the commands to model a GARCH for panel data with Stata? I do not find it in the manual...

[@kanchandatta4668]

There is a family of GARCH models. if possible kindly prepare videos on each one using Stata. it will be very helpful for many professors and scholars. moreover show one empirical case study when the application of these models will be suitable in each separate cases. please Mike do it for the development of financial econometric researches all over world.

[@sarabaldassarre3174]

I want to investigate the January effect. Shall I use the GARCH model?

[@mikejonaseconometrics1886]

Since the January effect typically refers to higher than usual average returns in that month, rather than volatility, a GARCH model is not necessary. An ARMA regression with a January dummy variable would be my first approach. All that said, you should still use a GARCH model if called for based on specification tests, but it would not be directly used to test your hypothesis.