Timeline for Easy explanation of how to fit a multivariate GARCH model (in Gretl)
Current License: CC BY-SA 3.0
14 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Jun 9, 2017 at 10:49 | comment | added | Jack Lucchetti | The package MGARCH is available. As of now, it only handles unrestricted BEKK models, though. | |
| May 27, 2016 at 9:43 | vote | accept | Jonathan Rhein | ||
| May 27, 2016 at 9:15 | answer | added | Sven S. | timeline score: 1 | |
| Jan 13, 2016 at 20:16 | history | edited | Richard Hardy | CC BY-SA 3.0 |
added 7 characters in body; edited title
|
| Jan 13, 2016 at 19:29 | comment | added | Richard Hardy | I checked out Gretl's manual and was not able to find multivariate conditional variance models; I only found univariate ARCH and GARCH (see p. 217-230). Should I look somewhere else, or can I conclude that one cannot fit multivariate conditional variance models in Gretl? (If so, your question becomes irrelevant as long as you insist on using Gretl.) | |
| Jan 7, 2016 at 16:24 | comment | added | Richard Hardy | Sorry, I am not ready to get my hands dirty now. I am unfamiliar with GRETL, so I have nothing to offer there; I also do not work with Excel's add ins. Also, I forgot to mention earlier: do not expect good fit for financial returns data (if you achieve that, you might have overfit) and watch out for spurious regressions if you use levels rather than returns. | |
| Jan 7, 2016 at 15:46 | comment | added | Jonathan Rhein | thank you Richard for your quick and very helpful answer! Actually I have never used R really, is there any such solution (as "gets) that works in GRETL or even as add in excel or some other statistical software? Also would there be a possibility of contacting you and showing you some of my data? Thank you! | |
| Jan 7, 2016 at 14:39 | history | edited | Jonathan Rhein | CC BY-SA 3.0 |
deleted 25 characters in body
|
| Jan 7, 2016 at 14:32 | history | edited | Jonathan Rhein | CC BY-SA 3.0 |
deleted 1 character in body
|
| Jan 7, 2016 at 13:39 | comment | added | Richard Hardy | And here is a link to an R package that does automated model selection (both for conditional mean and conditional variance) given the regressors. It builds on reputable work of Jurgen Doornik ("Autometrics") and colleagues. | |
| Jan 7, 2016 at 12:36 | comment | added | Richard Hardy | You may start off by checking out the existing threads about order selection for GARCH models (although most of them consider univariate cases), perhaps this, this, this, this, and links therein. | |
| Jan 7, 2016 at 9:57 | history | edited | Jonathan Rhein | CC BY-SA 3.0 |
added 13 characters in body
|
| Jan 7, 2016 at 9:49 | review | First posts | |||
| Jan 7, 2016 at 10:03 | |||||
| Jan 7, 2016 at 9:47 | history | asked | Jonathan Rhein | CC BY-SA 3.0 |