Asymmetric GARCH model is estimated and interpreted in a quick overview.
Пікірлер: 12
@armtiger53114 жыл бұрын
Mike, when we have good news, which means error is positive the dummy is equal to zero and vice versa if the error is negative so the dummy gets the value 1 and volatility increases
@muhammadkhurram20182 жыл бұрын
Gold explanation
@boudewijndikkers5 жыл бұрын
Thanks man, helped a lot!
@danielstalmeisters25284 жыл бұрын
Hi Mike, thank you for the videos that you are uploading - they are very helpful! I was wondering whether you have managed to estimate a panel GARCH model on STATA?
@versystudio8225 жыл бұрын
Thanks a lot for your video! You mentioned videos about setting proper ARMA GARCH specifications, are there ones? Would be very helpful!
@mikejonaseconometrics18865 жыл бұрын
Coming soon!
@700Niraj3 жыл бұрын
Hello, professor,, thank you for this video. How to study the effects of a certain exogenous event using the model? I used a dummy to study the effect. Specifically, I wrote the code as follows: arch stockreturn event(dummy), arch(1/1) tarch(1/1) garch(1/1) het(event). Am I doing right in here?
@schlapperseppel30013 жыл бұрын
I´ve got a question regarding the results of the variance equation: Is it not required to be stationary (sum of coefficients 0)? And what should I do if this is the case?
@user-vl8tt3qp8j10 ай бұрын
hi Mike do you know the STATA code for Asymmetric variable-threshold autoregressive (AvTAR) model?
@caspersky64733 жыл бұрын
How about the dummy variable in Stata application I did not notice, and is that GJR GARCH Model?
@animeshchowdhury4483 жыл бұрын
Sir, I am currently working on a meta analysis. But I am not able to produce association studies of allele contrast (A vs a). Except that all are done but can not understand how to calculate A vs a frequency. If you help me out it will help me a lot. Thanks