Hi, everyone, I used the data in the attachment to run ARCH (2) and GARCH (0,2), i assumed they would give me the same result but they did not. I have the result showing in below: ARCH (2) arch 2 re const
Model 1: WLS (ARCH), using observations 3-7837 (n = 7835)
Dependent variable: re
Variable used as weight: 1/sigma
coefficient std. error t-ratio p-value
----------------------------------------------------------
const 0.000515703 0.000109897 4.693 2.74e-06 ***
alpha(0) 8.11556e-05 6.06157e-06 13.39 1.96e-40 ***
alpha(1) 0.225945 0.0109590 20.62 5.15e-92 ***
alpha(2) 0.243682 0.0109590 22.24 2.85e-106 ***
Statistics based on the weighted data:
Sum squared resid 6676.296 S.E. of regression 0.923158
R-squared 0.000000 Adjusted R-squared 0.000000
Log-likelihood −10490.44 Akaike criterion 20982.87
Schwarz criterion 20989.84 Hannan-Quinn 20985.26
Statistics based on the original data:
Mean dependent var 0.000487 S.D. dependent var 0.012371
Sum squared resid 1.198934 S.E. of regression 0.012371
GARCH ( 0,2)
Model 2: GARCH, using observations 1-7837
Dependent variable: re
Standard errors based on Hessian
coefficient std. error t-ratio p-value
----------------------------------------------------------
const 0.00104076 9.69109e-05 10.74 6.65e-27 ***
alpha(0) 4.16523e-05 1.26856e-06 32.83 1.91e-236 ***
alpha(1) 0.400826 0.0222482 18.02 1.46e-72 ***
alpha(2) 0.437669 0.0224141 19.53 6.53e-85 ***
Mean dependent var 0.000486 S.D. dependent var 0.012370
Log-likelihood 25033.25 Akaike criterion −50056.50
Schwarz criterion −50021.67 Hannan-Quinn −50044.57
Unconditional error variance = 0.000257901
Likelihood ratio test for (G)ARCH terms:
Chi-square(2) = 3457.91 [0]
the Code i used is
open nasdaq.dat
arch 2 re const
garch 0 2; re
Can anyone help me explain why they are not the same?
|
Hi, everyone, I used the data in the attachment to run ARCH (2) and GARCH (0,2), i assumed they would give me the same result but they did not. I have the result showing in below: ARCH (2) arch 2 re const Model 1: WLS (ARCH), using observations 3-7837 (n = 7835) Dependent variable: re Variable used as weight: 1/sigma coefficient std. error t-ratio p-value ---------------------------------------------------------- const 0.000515703 0.000109897 4.693 2.74e-06 *** alpha(0) 8.11556e-05 6.06157e-06 13.39 1.96e-40 *** alpha(1) 0.225945 0.0109590 20.62 5.15e-92 *** alpha(2) 0.243682 0.0109590 22.24 2.85e-106 *** Statistics based on the weighted data: Sum squared resid 6676.296 S.E. of regression 0.923158 R-squared 0.000000 Adjusted R-squared 0.000000 Log-likelihood â10490.44 Akaike criterion 20982.87 Schwarz criterion 20989.84 Hannan-Quinn 20985.26 Statistics based on the original data: Mean dependent var 0.000487 S.D. dependent var 0.012371 Sum squared resid 1.198934 S.E. of regression 0.012371 GARCH ( 0,2) Model 2: GARCH, using observations 1-7837 Dependent variable: re Standard errors based on Hessian coefficient std. error t-ratio p-value ---------------------------------------------------------- const 0.00104076 9.69109e-05 10.74 6.65e-27 *** alpha(0) 4.16523e-05 1.26856e-06 32.83 1.91e-236 *** alpha(1) 0.400826 0.0222482 18.02 1.46e-72 *** alpha(2) 0.437669 0.0224141 19.53 6.53e-85 *** Mean dependent var 0.000486 S.D. dependent var 0.012370 Log-likelihood 25033.25 Akaike criterion â50056.50 Schwarz criterion â50021.67 Hannan-Quinn â50044.57 Unconditional error variance = 0.000257901 Likelihood ratio test for (G)ARCH terms: Chi-square(2) = 3457.91 [0] the Code i used is open nasdaq.dat arch 2 re const garch 0 2; re Can anyone help me explain why they are not the same? |
nasdaq.dat
Description: Binary data
