dec vect[series] ustd(%nvar)
dec series[vect] garchu
gset garchu gstart gend = bb*yvec(t)-%%garchmu(t)
end do time
economics2012 wrote:Thanks a lot Tom.
I ran the test with the original procedure and this is what I got:
Test for Multivariate ARCH
Statistic Degrees Signif
17.30 9 0.04424
That does show a GARCH effect, right? So, what do you suggest in this case, should I try different GARCH model such as EGARCH or so? Also, should I run the test for multivariate ARCH on all the sectors I have?
I have attached the procedure along with the results.
Thanks a lot for all your help, I truly appreciate it.
economics2012 wrote:SO, what do you think the main reason behind getting this positive effect of oil price uncertainty on stock returns?
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