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Results tagged with garch
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user 363892
A model for time series in which the conditional variance is time-varying and autocorrelated.
1
vote
1
answer
115
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Can the GARCH intercept be 0?
Reading the ARCH and GARCH theory I understood that
alpha_0 have to be > 0 , but when I estimate my GARCH-X(1,1) model I obtain a non significant constant, like this:
Is it a problem? …
- 37
0
votes
1
answer
609
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Help on GARCH-X model theory
I need to understand how a GARCH-X model (GARCH with explanatory variable) works. … climate change) the only thing that change is that my variable replaces the $\alpha_0$ in the GARCH equation above? …
- 37
1
vote
1
answer
101
views
Should a covariate be lagged in a GARCH-X model?
I am modelling Dow Jones returns using a GARCH(1,1) model but I also want to estimate a GARCH(1,1) by inserting a covariate to check if this covariate affects the volatility in some ways. … I estimated a first GARCH(1,1) to give an initial interpretation of the parameters and to use it as a sort of benchmark. The results are:
How can I interpret those results? …
- 37
1
vote
1
answer
141
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How to model a GARCH(1,1) with covariate?
In order to do it, I’m using a GARCH(1,1) model with the addition of a covariate. … in the conditional mean equation of the GARCH? …
- 37