i aced my all econometric assignments by the way you taught in your video tutorials. i owe my grading to you.. thank you so much . u r no less than a miracle happened in my life. ! keep it up ! :)
I want to appreciate all my subscribers from across the globe (Africa, Asia, Europe, the Middle East, The Americas, and The Pacific). Thank you all for your support. I am encouraged by your comments, questions, likes and critiques. They keep me focussed and poised to do better. I will continue to contribute my little quota such that every student and researcher will independently analyse his/her data. My teaching approach is very practical. I adopt a do-as-I-do style. Many thanks to those who have supported me by telling others. Once again, CrunchEconometrix loves to teach, support my Channel with your subscription, likes, feedbacks and sharing my videos with your cohorts. Please do not keep me to yourself (lol) inform your friends, students and academic networks about my Channel. Tell them CrunchEconometrix breaks down the econometric jargons and teaches with simplicity. Follow me on Facebook, Twitter and Reddit. Love you all, greatly!!!
Dr crunch queen space,this is amazing and results of hard work and didecation to impacting your generation. More uncommon grace more uncommon strength in good health IJMN. It amazing. 7:51
Thank you so much for your videos, they are really helpful but then I have a little request. My project topic is 'statistical analysis of stochastic volatility models' How do I approach it, what and what should I look out for. Thank you for your time
Hi Maureen, the best approach is to check existing empirical literature that used that technique on the steps to follow after which you search for online resources on how to perform them.
Thanks for the video! They have been very helpful so I am now a subscriber! I am currently running a GARCH (1,1) model for exchange rate data, for one of my exchange rates (the EUR/USD exchange rate) my GARCH coefficient is negative. I have ran the Augmented Dickey Fuller test on the residuals and they are stationary (as are all of my variables included in the model). Do you have any idea on what my problem could be and why I have a negative GARCH coefficient? Thanks
Thanks for the video! Is there a reason that when i do the variance estimate for a one year sample i get N/A for my results besides the coefficients? If there is an issue with that sample size, would it be best to use the st dev?
Is the conclusion that since the risk premium is not significant, we can't say that this equity is risky, and therefore it will not fulfill the investors wish to hold a risky asset? Or, that it means that we can't say there is a feedback effect from the conditional volatility to the conditional mean of Y, so increased volatility does not lead to an increased risk premium?
@@CrunchEconometrix Thanks for the reply. What would it indicate if the risk premium was negative? Does that indicate that the investmest is considered very low risk?
i aced my all econometric assignments by the way you taught in your video tutorials. i owe my grading to you.. thank you so much . u r no less than a miracle happened in my life. ! keep it up ! :)
That's great to hear, Hadiqa...congratulations!!!
I want to appreciate all my subscribers from across the globe (Africa, Asia, Europe, the Middle East, The Americas, and The Pacific). Thank you all for your support. I am encouraged by your comments, questions, likes and critiques. They keep me focussed and poised to do better. I will continue to contribute my little quota such that every student and researcher will independently analyse his/her data. My teaching approach is very practical. I adopt a do-as-I-do style. Many thanks to those who have supported me by telling others. Once again, CrunchEconometrix loves to teach, support my Channel with your subscription, likes, feedbacks and sharing my videos with your cohorts. Please do not keep me to yourself (lol) inform your friends, students and academic networks about my Channel. Tell them CrunchEconometrix breaks down the econometric jargons and teaches with simplicity. Follow me on Facebook, Twitter and Reddit. Love you all, greatly!!!
Dr crunch queen space,this is amazing and results of hard work and didecation to impacting your generation. More uncommon grace more uncommon strength in good health IJMN. It amazing. 7:51
Thanks, Mum! ❤️
Thank you so much for your videos, they are really helpful but then I have a little request. My project topic is 'statistical analysis of stochastic volatility models' How do I approach it, what and what should I look out for. Thank you for your time
Hi Maureen, the best approach is to check existing empirical literature that used that technique on the steps to follow after which you search for online resources on how to perform them.
well done 👏
You are welcome, Mishal!
Thanks for the video! They have been very helpful so I am now a subscriber! I am currently running a GARCH (1,1) model for exchange rate data, for one of my exchange rates (the EUR/USD exchange rate) my GARCH coefficient is negative. I have ran the Augmented Dickey Fuller test on the residuals and they are stationary (as are all of my variables included in the model). Do you have any idea on what my problem could be and why I have a negative GARCH coefficient? Thanks
Hi Joel, thanks for the positive feedback and your subscription. Deeply appreciated! I'll say your outcomes depends greatly on the underlying data.
Thank you. Is it possible in EVIEWS to solve GARCH-M (1,1) with Kalman filter estimations to show the time-varying coefficient?
Honestly, I have no idea. You may need to post this on an EViews platform for constructive feedback.
I thank you for these tutorials. I want to confirm as I’m new to regressions, is the Garch M the same as a Multivariate Garch?
Hi Kelvin, no it's not.
Thanks for the video! Is there a reason that when i do the variance estimate for a one year sample i get N/A for my results besides the coefficients? If there is an issue with that sample size, would it be best to use the st dev?
Hi Greg, I have no idea why that is. Since the SD is the root of the variance I suggest you use it provided it gives better outcomes.
Is the conclusion that since the risk premium is not significant, we can't say that this equity is risky, and therefore it will not fulfill the investors wish to hold a risky asset? Or, that it means that we can't say there is a feedback effect from the conditional volatility to the conditional mean of Y, so increased volatility does not lead to an increased risk premium?
Your interpretation is correct, either way. Well done!
@@CrunchEconometrix Thanks for the reply. What would it indicate if the risk premium was negative? Does that indicate that the investmest is considered very low risk?
sorry i could not find the video on serial #4 i.e. ARCH verses GARCH models estimation
Hi Dr. Ghauri, kindly browse my Channel to locate the video. Thanks.
can i use quasi maximum likelihood instead of ml by EViews and how ??
Osama, I'lll advise you use the approach you are familiar with or the one used in my GARCH tutorials.