Your videos are mesmerizingly educative. I wonder if you are going to upload a video about DCC-GARCH models. I can join your channel if you have already gotten one. Please reply below this comment. Thanks in advance mate! :)
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.
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.
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
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?
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.
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?
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?
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.
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.
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
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.
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?
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 ☺️😊
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.
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: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html Best Regards, JDEconomics
Very helpful thank you sir😊
Most welcome 😊
The GARCH approach helps to model parsimonious volatility effects compared to the ARCH approach. This is beautiful.
Thanks! Please feel free to subscribe to my channel and share it with your close ones. Best, JD
wow I waited so long for this video! at last ! God bless you! 🌻
Thanks! Regards, JD
Really grateful for yout exposition, keep it up.
Thanks Diego! Best Regards, JD
Thank you very much. This is a great tutorials. Thank you
Thanks!!
very happy to see your new work！
Thanks for your support Will! Take care, JD
Thanks for such a great video!
I am pleased to hear you liked it! Best Regards, JDEconomics
Thank you so much for the detailed video
You’re welcome!
Your videos are mesmerizingly educative. I wonder if you are going to upload a video about DCC-GARCH models. I can join your channel if you have already gotten one. Please reply below this comment. Thanks in advance mate! :)
I dont have a video covering that topic yet. Sorry about that. Regards, JD
thanks for the new video
No worries! I hope you find it useful! Best Regards, JD
Thank you very much. Your's video so much helpful.
Glad to hear that! Thanks for the positive feedback! Regards, JD.
Hello sir..The video tutorials are nice. could you please make a video on estimation of egarch, tgarch fgarch etc. It would be really appreciated
Thanks for your feedback! I will take it into account for future tutorials. Regards, JD
Thank you for the video!
My pleasure! Feel free to check my website! www.jdeconomics.com
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! If there are no signs of Arch or Garch, no need to include any! That means your series doesn’t need a variance specification. Cheers
真的非常感谢，我正在做大学的毕业论文的实证研究，需要用到arch和garch，谢谢您的视频，让我理解上了一个大台阶，希望还有egarch和tgarch的视频讲解，以及如何在egarch模型里面加入虚拟变量
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.
am also facing the same problem, did manage to find a solution to that?
Yes
@@sachinsingh7337 mind helping me out..
Use AR MA which are significant in GARCH output window
@@sachinsingh7337 Thanks
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
Muito bom, me ajudou bastante!!! Obrigado!!!
No problem!
what if we then want to include the new conditional variance obtained from garch as a new variable for the Svar? how to do it in Eviews?
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?
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.
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?
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 Sir, such a great video. Is there any video on DCC garch modelling?
Hi Alice, Unfortunalty I haven't covered that topic yet. You can check all my tutorials at:
sites.google.com/view/jdeconomics-/home
Regards!
JD
How do you do the AIC BIC for different ARCH GARCH models together?
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.
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.
The number is arbitrary. Regards, JD
@@JDEconomics thanks a lot sir. A you tube channel which in reality fulfill all the criteria for sharing with friends. Thanks ☺️
@@shubhamgarg9540 Great to hear! Feel free to share if with your friends. Take care, JD
Sir please make video on GARCH.MIDAS MODEL
Do we include in the equation, as we making the ARCH model, independent variables or the dependent one?
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
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.
Sir how can I calculate it for multiple stock together?
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?
Can You do the same using Stata version?
Will do! Thanks, JD
Sir how can i forecast next 30 days with this mean and variance model.if you do it immediately it will me more.
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
Hi, I don’t know what you mean. The notation? Depends on the author the notation. I used conventional notation. Regards, JD
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 ☺️😊
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.
Does GARCH(p,q) implies ARCH (p) and GARCH (q) ? or is it ARCH q ,GARCH p? please clarify the variance equation (no 3)
HELLLO, can you please make a video about dcc garch
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: th-cam.com/channels/5P21WGFO4WRUlAiGLcwymg.html
Best Regards,
JDEconomics