GARCH Modelling for Volatility in Eviews
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- เผยแพร่เมื่อ 19 ก.ย. 2024
- This video provides some useful guides on how to generate the volatility series using the GARCH model framework.
For a better understanding of GARCH modelling, kindly refer to the following texts:
Alexander, C. (2008). Market risk analysis, volume II, practical financial econometrics: www.wiley.com/...
Taylor, S. T. (2007). Asset price dynamics, volatility and prediction: www.amazon.com...
Campbell, et al (1996)
Chan (2010)
#garch #volatility #arch #bitcoin #btc
@ChekwubeMadichie @CrunchEconometrix @sayedhossain23 @harvard @mitocw @cambridgeuniversity @RuhrUniversitatBochum
Please can do the same thing for panel data, if yes, how,if No, what can be done. Thanks for sharing such knowledgeable content .
Hallo, Excellent job, 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 annual volatility? Is it (Garch annual volatility) possible to calculate the average daily volalitily? Thank you.
Hello, Great video, nice, short and simple. Do you have a video of the next step of looking at variables on the volatility?
Thanks,
Ciaran.
I will work on the video. Thanks
@@ChekwubeMadichie thanks for your generosity in sharing this video. we are looking forward to your next videos on volatility modelling please. remain blessed.
Good morning sir
Why you take one lag value of return
I.e. BTCR(-1) in mean equation
What's the criteria
Hi, could you kindly share your data? Althought we can download it from some website,but looks like slightly different than yours.
See quandl.com for real time up-to-date data on financial variables.
Good explanation. One query is GARCH(1,1) same as ARCH (2)?
Not the same sir. Standard garch is garch(p, q) and but Garch(0, q) = arch(q). The p terms in garch(p, q) is meant to summarize the number of potential q terms in arch(q) in order to ensure parsimony.
how can we contact?
@@ChekwubeMadichie i follow your steps but i didn’t find the ARCH effect and i can’t drop this countries.
Any suggestions ???
Are you saying that one can derive bitcoin returns through the logdifference of bitcoin prices??
Nominal returns are calculated from price changes, and yes, bitcoin returns relate to its price. So, the log-difference as shown in the video shows how return series is generated.
Hello sir please what can cause the THRESHOLD technic to disappear from the available technique in e-vews if one want to run a data using the threshold analysis for a number of selected countries in the ecowas region.
Please become a member of my community to enjoy certain privileges including assistance in completing your work and other helps you may need. Thank you
@@ChekwubeMadichie OK. How do I become a member aside subscribing to the channel
Is there anyway to become a member aside subscribing
should I write number with % this symbol or just number
Just the number
can we do the panel garch by same method also?
Good evening sir
Must there be an arch effect before we generate volatility series?
Yes
Good day Dr. Pls sir how can I get tick data?
Can it be converted to annual volatility?
Hello Author can we contact with you I have a question please
chekwus_vtus2008@yahoo.com
@@ChekwubeMadichie thank you
bro can you reply how can I put percentage data into Eviews
Sir do you have any idea how to run Data development analysis in Eview? If yes then can you plz give some lectures on that?
Hello. I am guessing you mean 'Data Envelopment Analysis'? I do not think you can use Eviews for it. There are special software programs for DEA.