Dear Tom,
After I use MLE to estimate the MVGarch model, how can I check the global or local maximum? Thank you very much!
Search found 4 matches
- Thu Mar 28, 2013 1:15 pm
- Forum: ARCH and GARCH Models
- Topic: How to check global and local maximum?
- Replies: 1
- Views: 4502
- Wed Mar 20, 2013 4:07 pm
- Forum: ARCH and GARCH Models
- Topic: Multivariate Ljung-Box tests
- Replies: 15
- Views: 27477
Re: Multivariate Ljung-Box tests
What you want is to do is @MVARCHTEST applied to the standardized residuals: dec vect[series] zu(%nvar) do time=%regstart(),%regend() compute %pt(zu,time,%solve(%decomp(hh(time)),rd(time))) end do time @MVARCHTest(lags=6) # zu The two (Q test applied to the squares and the ARCH test) will do simila...
- Tue Mar 19, 2013 10:30 pm
- Forum: ARCH and GARCH Models
- Topic: Initial value for mvgarch model
- Replies: 1
- Views: 5895
Initial value for mvgarch model
Dear Tom, I have some Convergence problem when I estimate a multivariate GARCH model, so I want to specify the initial value. I saw there is a method option "evaluate", but I do not know how to use that with initial. First, I estimate a model use the code garch(p=1,q=1,model=var4,asymmetir...
- Tue Mar 19, 2013 12:36 pm
- Forum: ARCH and GARCH Models
- Topic: Multivariate Ljung-Box tests
- Replies: 15
- Views: 27477
Multivariate Ljung-Box tests
Dear Tom, I use a BEKK model in my research, after estimating, I want to make sure my model was proper specified, so I applied multivariate Ljung-Box tests for both residuals for mean equation and squared residuals for variance equation. My codes are dec vect[series] zu(%nvar) do time=%regstart(),%r...