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Arch Garch Model
Arch Garch Model
View>residual diagnostic > hetrosakadicity > select ARch from the list > if value of r square is significant
hetro exist and garch model will imply.
Estimate > equation > (rf c rf(-1)) > model selection men sy arch model select krna hy. Arch M me sy
variance select krna hy
Go to proc > residual series > > create ordinary series > (rename series to en or ef
Estimate > write equation > add en series (rf c rf(-1) ef(-1)
Proc > residual series > create standardized Series >renam as (utm)
No for UTV
Genr rn=log(n100/n100(-1))
Proc > residual series > make ordinary series > rename as en
Estimate equation > rn c rn(-1) en(-1) utm > (variance) > variance regerssor men utv likhna hy
Genr lf=log(fchi)
Genr ln=log(n100)
Plot lf ln
Double click on ln series > view > unit root test > ADF test > leve > trend and intercept assumptions
Agr trend ki assumption significant hy to trend ki assumption len gy nai to drop kr den gy
View > unit root test > first difference > intercept
Quick > group statistic > Johnson test > enter ln lf both series
Ab 1st and 5th ko chor k baki 3 ko check kren agr us men sary zero hon to koi b test use kia ja skta hy
Quick > estimate VAR > click unrestricted VAR > write lf ln in series
View > lag structure > lag length criteria > table men AIC ki row men jis value k sath * ho ga wo hmari lag
length ho gi.
Quik > group stat > jonson > lag length men 1 k sath 8 dal den jo hmari lag value i
Ab result me sy agr con integeration exist krti hy to to next step kren gy nai to yahn tak stop kr den gy