By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization. It only takes a minute to sign up. I have different estimates of the coefficients and I need to interpret them.

So it represents kind of an "ambient volatility".

But I would like to have a better and more comprehensive interpretation of these parameters. So can anyone give me a good explanation of what those parameters represent and how a change in the parameters could be explained so what does it mean if e.

Also, I looked it up in several books e. Edit: I would be also interested in how to interpret the persistence. So what is exactly persistence? Campbell et al have following interpretation on p. Under this scenario, unconditional variance become infinite p.

Alpha catches the arch effect Beeta catches the garch effect Sum of both more close to 1, implies volatility remains long. Sign up to join this community. The best answers are voted up and rise to the top. Home Questions Tags Users Unanswered. Ask Question. Asked 7 years, 3 months ago.

Active 6 months ago. Viewed 36k times. Stat Tistician Stat Tistician 2, 4 4 gold badges 25 25 silver badges 53 53 bronze badges. You don't need two symbols for the same thing. Active Oldest Votes. Richard Hardy Metrics Metrics 2, 2 2 gold badges 16 16 silver badges 30 30 bronze badges. Alexis The toolbox contains C-Mex files for the necessary loops in the univariate models. It is being released under a BSD style [license]. This means you can do pretty much what ever you want to including make money by selling it.

Even more reason to move to the MFE Toolbox if possible. I also replaced the missing tarchcore. It has been renamed diagonalBekkMVgarchLikelihood. The original file was using variances, not std devs. This is now fixed. For now, egarchcore. Note: A few last minute bugs have been caught and the toolbox has been fixed Again! Please fell free to contact ma about any errors you get at kevin.

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Kevin Sheppard Blog.Samar Zlitni Abdelkefi 1Walid Khoufi 2. Samar Zlitni AbdelkefiWalid Khoufi. The sample period started from January, 5 th to September, 17 th The whole sample period was divided into three sub-periods: Pre-crisis, global financial crisis and Post-crisis.

Overall results proved unilateral and bilateral relationship between the variables. A central issue in asset allocation and risk management is whether financial markets become more interdependent mainly during financial crises. Common to all these episodes was the fact that the financial turbulence that originated in one market widespread to other markets and countries in a way that was hard to explain on the basis of changes in fundamentals.

The word "transmission volatility" became popular in the academic literature. Recent financial crises provide us with an opportune backdrop to analyze the transmission volatility effects among stock markets. Research on market linkages has gained great attention in the academic literature because of the following reasons, [ 1 ].

Firstly, the results from such research have important implications on international diversification benefit. Secondly, research on market linkages also shed important light on international market integration. Stock markets can be considered integrated if their prices have a tendency to move successively.

The US market is included in the current analysis because previous studies have found that the US is the main driving force behind the Asian and European markets[ 23 ].

We use the Granger causality test to examine the potential causal relationships at bivariate level, impulse response functions and variance decomposition analysis. Our results on the transmission phenomenon proof a significant effect of US shocks on most markets.

The last section concludes. Literature Review. Many studies have attempted to provide better understanding of the changes in market linkages after an adverse financial event, such as the stock market crash and the Asian financial crisis.

Reference [ 4 ] analyzes the causal relationships between stock prices and exchange rates in Asia. Factor analysis is used to examine whether the common factors affecting market returns vary in the pre- and post-crash periods.Quick links. General econometric questions and advice should go in the Econometric Discussions forum.

However, I do not know how to read the results from eviews. I would like to test for volatility spillovers, please advise how I can read the result in this respect. Below is the result I obtained from eviews. Thanks a lot kalec bekk. You do not have the required permissions to view the files attached to this post. How can I interpret mgarch diagonal bekk results. How can estimate volatility spillover in e-views? I already used trivariate m-garch code posted in e-views forum but didn't interpret the results.?

Please, help! It is really urgent!

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Therefore, estimated coefficents on the lag s of squared residuals of other mean equations measure the volatility spillover effects.

Other coefficients of cross terms are mostly related to volatility transmission effects.

Last edited by trubador on Wed Dec 31, am, edited 13 times in total. I also feel confuse about the results. Then I think maybe we need to perform a Wald coefficient test in order to test the corvariance volatility spillover. But I am not sure it is correct or not.

Due to reduce the amount of the coefficients. I guess. It merely shows covariance in the system. Or am I misunderstanding the process here? In other words, can we measure whether past residuals of eq1 enter significantly the garch process of eq2 using this technique?

One last thing, someo Thanks for the help! However, you can write your own unrestricted model via LogL object. Please search the forum for more details I have searched the forum quite extensively for this but cannot seem to find a suitable discussion. I want to teach the spillover techniques to our students and really want to use Eviews for this. Do you have any suggestions of forum links?

The problem is, in those examples of restricted versions the Omega constant matrix is upper triangular. I am wondering whether there is any code for the alpha and beta matrices to be lower triangular. I am puzzled as to why this is the case?! This is a serious shortcoming as one cannot then conduct meaningful volatility spillover analysis using GARCH modelling in Eviews. Thank you for your help! I have tried programming a lower triangular matrix system for the bivariate case so that volatility in y2 spills over to y1 - but it doesn't seem to work.

It keeps saying: "Missing values in Logl".RATS Version Doan, Let's suppose I have two series futures and spot pricesand let's assume a vector error correction model with a garch-bekk is an appropiate model. My preliminary code looks like this. If is the second how may I include it? I got the point. I have another question about my model.

I would be grateful if you could possibly guide me again. I have two endogenous variables futures and spot price of gold and two exogenous variables exchange rate and a stock index. I want to estimate a vecm bekk model based on these variable but I am just a beginner in RATS and I do not know how to build such a model. Especially, it seems that there are tow cointegration vectors between my variables I did it in Eviews 9. I really your ned help for building my model in RATS.

How it is possible that there are tow cointegration vectors between my variables? How I can choose between them? How I can choose optimum lags for my model? Here is my data: data.

Dr olukoya dream interpretationYou do not have the required permissions to view the files attached to this post. Second, how are you intending to use the presumed exogeneity of the two variables? The price of gold in my country is just the global price of ounce New York spot price multiply the exchange rate. So when I want to build a model for studying the relationship between future and domestic spot price of gold I should include the global spot price of gold and exchange rate.

I assume that those two latter variables are exogenous because they are not determined in my model is it true? Optimum lag number of VAR model is 3 and so I do cointegration test with 2 lags for futures and domestic spot price of gold by assuming the exogeneity of the other two variables and an intercept in cointeration eqquation and VAR model.

I run it in Eviews and the results show that there are to cointegration vectors between variables. I have attached the results.By using our site, you acknowledge that you have read and understand our Cookie PolicyPrivacy Policyand our Terms of Service. Cross Validated is a question and answer site for people interested in statistics, machine learning, data analysis, data mining, and data visualization.

It only takes a minute to sign up. I am having some difficultires, figuering out what and why the ARCH term in the following output is: Please note that above's output is from Introductory Econometrics for Finance from p.

Wipro kodathi bangalore addressC 3 and C 4 is for the ARCH term, but the absolute value in C 3 is for the effect of the size, while C 4 is for the effects of sign bad news vs. C3 is positive shows there is a positive relation between the past variance and the current variance in absolute value. C4 is negative indicates an asymmetric effect.

Bad news will increase volatility more than a good new of the same size does - which is normally found in financial time series of stock prices and exchange rate. Sign up to join this community.

Tamil dubbed adult movieThe best answers are voted up and rise to the top. Home Questions Tags Users Unanswered. Asked 6 years, 10 months ago. Active 1 month ago. Viewed 12k times. Do you know what it is? And if so: How did you know it? I think the ARCH term can be interpreted as the effect of the previous error term on the current error term? TheEconometricsBeginner TheEconometricsBeginner 11 1 1 gold badge 1 1 silver badge 3 3 bronze badges.

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Responding to the Lavender Letter and commitments moving forward. I am resigning as a moderator. Related 0. Hot Network Questions. Question feed. Cross Validated works best with JavaScript enabled.Quick links. Here is the workfile in the attachment. I am trying to use the multivariate GARCH model to test the volatility spillover and I have several questions as follow: 1.

**ARCH GARCH video7 BEKK VECH**

Can I use this model to test the volatility spillover? How can I read the result? Can I use CCC model to test the volatility spillover? What should I choose for coefficient restriction? Thanks for your reading. Hope for the feedback soon. You do not have the required permissions to view the files attached to this post. I underestand that if I have a bivariate diagonal BEKK estimation including asset i and j, then matrix A represents the effect of shock in asset i at time t-1 on the subsequent co-volatility between assets i and j at time t.

However, what if we estimate a multivariage diagonal BEKK? A 10,10and also B 1, B 10,10can some one please help me to interprete these results about having more than two asset in the BEKK model?

Iw power management offI attached my results, Thanks Shwan. Jump to. Who is online Users browsing this forum: No registered users and 19 guests.

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