Hello Everyone! Thanks a lot for your amazing support! I hope the video helps you to understand ARCH and GARCH models and how to select the appropriate model. ☑️ If you would like to contribute to the channel and help create more content and tutorials, feel free to buy the material of the video (NOTE: The material includes both ARCH + GARCH tutorials): payhip.com/b/R2EbW ☑️Visit my website for all the tutorials and content: www.jdeconomics.com/ ☑️Feel free to subscribe to my channel: ru-vid.com/show-UC5P21WGFO4WRUlAiGLcwymg Best Regards, JDEconomics
Dear Sir, Please rectify my doubt, if the ADF test says the series is stationary and the ARCH-LM test reveals there exists no arch effect can i still procced to apply garch.
Hi, thank you for video. I have a question related to the GARCH term, I run the GARCH model but the coefficient of the GARCH term is negative. What should I do when the coefficient is negative? Can I just conclude and accept the negativity of it? Thank you
Thank you very much for this GREAT video and it was really helpful as always! I have a question related to variance regressors. Can we include dummy variables there? Should the variance coefficients be positive in those regressors as well in the variance equation? Also my final question, can we estimate a VAR equation using this ARCH/GARCH method?
Hi, in my mean equation, AR(2) MA(2) were significant but when I included Garch it became insignificant. In the Garch window it can be significant only if I include ar(1) ma(1) but it is different for the mean equation. Should I leave it as insignificant in Garch (1,1) window?
Sir one more clarification needed. When deciding regarding number of arch effect lags, you use correlogram where you put lags to be included 10 instead of 36 as generated by software. Is there any formula to compute 10 or we can go with any number.
One more query sir, I have daily data of my return series, but I also want to include some control variables in our model to exclude or constant their impact on our model, but the data of these control variables are in quarterly and monthly form. If we convert the quarterly/monthly data into daily data, is it impact the reliability and validity of our data
Don't convert it to daily data because it will make an average and all your observations will have the same value. Unfortunately, I am not able to assist you further with that specification you want to do. Regards, JD.
JD while calculating my ARCH GARCH models my AR and MA lags become insignificant in output window of ARCH GARCH but previously they were significant when I calculated my mean equation. Please reply I am at final stages of submission.
i checked on S&P 500 but after estimating a ARCH 2 model, my mean equation ar(1) ma(1) that was significant when i estimate ls ar(1) ma(1) ,are not significant any more. likewise my arch(2) coefficients are significant . what is the problem?
Heey, my doubt is whether it is possible to draw different news impact curves in the same graph??? I've been going crazy with that since I need the GARCH/TGARCH/EGARCH curves in the same graph. Thanks in advance
Hi, after estimating each model you can make the variance series and save it. Then you select the different variances you saved and open them together as a graph. Regards
Hello sir, how to do out of sample forecast in GARCH/EGARCH/TGARCH in EViews? I am using data from 2012-2022. Is it possible to forecast for next 3 months?
Good video. Very helpful. I am from india and very surprised to find this video so easy to understand . But please sir provide a short video where we can also use some control variables with garch (1,1). Please provide link of this video if already exist
Hello, Thanks for your message. What do you mean by control variable? an explanatory variable? If so, you can add any explanatory variable in the mean equation specification. Regards, JD
@@JDEconomics I am referring a research paper entitled The impact of GST implementation on the Malaysian stock market index volatility, where they are using control variables i.e. cpi, ppi etc. This is not explanatory variables but this is control variables. If you can help, it will be a great help for me.
Hallo, Excellent job Sir, Sorry, After I calculate the conditional variance, then do I need to calculate the square root of the conditional variance to calculate the Garch of daily volatility? How to calculate the Garch of annual volatility? Is it (Garch of annual volatility) possible to calculate the average of Garch daily volatility? Thank you.
I am doing a volatility analysis with two variables Real effective exchange rate and use the volatility of reer variable to analysis the volatility of foreign direct investment. but i am getting negative garch coefficient while checking for volatility in reer and it has significant arch effect by arch Lm test. should i use egarch ? can you please suggest me? i could not find any paper addressing this issue.
i have also tried egarch model and in this case i am getting negative garch coefficient and positive leverage coefficient. and almost same result in case of fdi whether i use volatility of reer in the mean equation or not. please help me.
Dear sir, when I am reading the research papers I am finding arch term which you say ma term and garch term which you arch term in the video. Is there any mistake regarding this in video. Please clarify
Dear sir in mean equation our constant (c) value is come .001335 but in mean equation you put constant value equal to .0006. from where this value come. Plz explain or its a mistake in video
Yes, I should have updated the mean equation part too. You are correct. Seems in the slide I didn't update the mean equation, and only updated the variance part. Thanks. Regards, JD.
@@JDEconomics please also make a short video with some control variables in garch model. It will be our pleasure to learn more from your you tube channel. A short video just 5 minutes will be enough if you can sir ☺️😊
