Stata Tutorial: Threshold ARCH Model

[@armtiger5311]

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

[@versystudio822]

Thanks a lot for your video! You mentioned videos about setting proper ARMA GARCH specifications, are there ones? Would be very helpful!

[@mikejonaseconometrics1886]

Coming soon!

[@muhammadkhurram2018]

Gold explanation

[@boudewijndikkers]

Thanks man, helped a lot!

[@JenniferHinlo]

hi Mike do you know the STATA code for Asymmetric variable-threshold autoregressive (AvTAR) model?

[@schlapperseppel3001]

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?

[@700Niraj]

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?

[@danielstalmeisters2528]

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?

[@caspersky6473]

How about the dummy variable in Stata application I did not notice, and is that GJR GARCH Model?

[@animeshchowdhury448]

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

[@sebastiantrent8160]

Is this a GJR model?