Excellent Prof, thanks for uploading such a useful videos...this is not the first time I make use of your videos, I have a doubt , Volatility is one of my independent variable only, the dependent variable is Index of industrial production, in this case can i use GARCH and ARCH model? in the above model in the video volatility is the dependent variable., waiting for your valuable suggestion, regards.
Thanks for the video prof. Hossain. It is assumed that variables should be stationary, in order to estimate a GARCH model. In my case, variables, both the dependent(Y) and independent (X1, X2), have a unit root test in levels but are stationary in first difference Should I use the first difference in the regression model? e.g. D(Y) c D(X1) D(X2) or variables just in levels? e.g. Y c X1 X2
+Christos Tsirimokos Thank you. I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
There are many ways to calculate volatility or minimizing volatility. GARCH is one of the ways out of many. Now it depends on your objective of study. However I have a GARCH model in my channel you can see.
Sir, the data used here is...? a. original price data b. prices that have been converted into natural log c. returns (or the first difference of prices that have been converted into natural log)
Dear sir, I am in a bit of a fix with the calculation of Garch i have watched your videos thoroughly and I have to say its been quite an educational instrument, however for my issue is the measurement of exchange rate volatility of which its part of the independent variable in my model I succeeded in measured exchange rate volatility hence my question is how do i initiate my result into my model and determine how it affects the dependent variable
Dear Aido, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. Actually I am in that group and may help you. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
hi... I amAmbili and I am doing research on exchange rate volatility and its effect on trade. Can you please tell me how you generated exchange rate volatility and how you incorporated it as an independent variable?
If we want find the volatility of the Indices of Asset S &P/ Case& Schiller Indices. Which dependent variables, Independent variables and variance regressors should i use?
In this case, indices of asset would be dependent variable but independent variables need to find out from journal articles, dealing with this particular topics.
Hello Sir.. I am currently doing my dissertation which involves volatility. I have already calculated the historical volatility of the variables and then I have carried out some tests on E-Views. Does it make sense to use the GARCH model after calculation of volatility?
hi mr hossain.thanks for excellent teaching.i have 1 question. when we compare model with 3 distribution.in normal distribution BSR is significant but the t-student and GED distribution is not significant.i think normal distribution is the best model. do you think like me a bout this matter?
Hi, i am just wandering how can we define which factor is belonged to explantory varibal in mean equation and which factor is belonged to variance equation? This is because BBR may or may not be affected by BSR IBR BPR, how could we know which one is linked to explantory factor which one is associated with variance one. THX
Here I feel from literature study that BBR and BSR are linked and they are linked internally so I put both as mean equation. I also feel from literature study that fluctuation from IBR and PBR, which are neighboring countries of Bangladesh, can influence the volatility of BBR. So I put those IBR and PBR as external factors of BBR.
how about when you type BBR C BSR in mean equation and then type BSR in variance equation then run the model. Is it possible to give the correct information if i do so? is it possible to test for only 2 variables? +Sayed Hossain
I know Sir but i just wanted to know that is it define correlation between dependent and independent variable?? I am doing research and i apply this model having 5 independent variable in MEAN EQUATION with Dependent Variable. I need to interpretate it. If i eliminate BSR then the value of GARCH analyses will change. Does GARCH analyses take variations of BSR too from the MEAN EQUATION??
Indeed we have estimated mean equation so that we can take residual from mean equation to estimate variance equation, that is GARCH model. Other than this, I do not give value to mean equation. It is my comment
dear sir this is useful video thank you but i got an eror while i was modaling arch. the eror was about that "arch estimation requires a continous sample" what did i wrong? @Sayed Hossain
Dear sir; this vedio is very helpful for me. In my research I have only one variable . Can I fit GARCH model for my data. Futher I suppose to fit ARIMA+GARCH(fit ARIMA model and fit GARCH model for residuals of the ARIMA model) model.how can I fit this model in eviews? Do you have any vedio related to my question?
+Hansanie Priayngika Thank you. I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
Dear sir. in my research i have to apply the Garch model on ten sectors of economy to check the effect of volatility of one sector to another.. how could i proceed.
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academyfacebook.com/groups/hossainacademy/
+Sayed Hossain of course it is suitable in terms of literature review i think. my variables are stock prices and earnings (net income). stock prices or returns are dependent variable and earnings are independent variable. is it ok?
+Sayed Hossain yes i know but can you just interpret the results of mean equation cuz u didnt comment on the mean equation results is it the result of regression test only? does it show the effect of bsr on bbr?
Dear Moona, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. If I know the answer I shall certainly respond. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
Oh cool looking forward to it. thanks for your work
you are my hero
Excellent Prof, thanks for uploading such a useful videos...this is not the first time I make use of your videos, I have a doubt , Volatility is one of my independent variable only, the dependent variable is Index of industrial production, in this case can i use GARCH and ARCH model? in the above model in the video volatility is the dependent variable., waiting for your valuable suggestion, regards.
GARCH is significant means past volatility or variance can affect the present variance or volatility.
Hi Hossain why didn't you include the out-of-sample forecasts for this model?
Thanks for the video prof. Hossain.
It is assumed that variables should be stationary, in order to estimate a GARCH model. In my case, variables, both the dependent(Y) and independent (X1, X2), have a unit root test in levels but are stationary in first difference Should I use the first difference in the regression model? e.g. D(Y) c D(X1) D(X2) or variables just in levels? e.g. Y c X1 X2
+Christos Tsirimokos
Thank you. I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
@@sayedhossain23 i would like to ask you how can i get the series of volatility exchange rate by using GARCH model please reply sir and thanks a lot
When does one use a multivariate GARCH as compared to the univariate model in your videos
There are many ways to calculate volatility or minimizing volatility. GARCH is one of the ways out of many. Now it depends on your objective of study. However I have a GARCH model in my channel you can see.
how can i calculate the volatility to get the series of exchange rate volatility ?
That means stability in the model specially in the dependent variables BBR is not there.
Hi, first i love your channel. But can you maybe show how to use the multivariate GARCH Model with Eviews? Many thanks
whether the coefficient of independent variable can be negative???
When there is multivariate relationship among variables
Thank you so much Sayed
sir,
can we use garch model to identify push and pull factors affecting some independent macroeconomic variable
mayureesh
I have plan to do in future
thanks your reply.difference between the three distribution is only significant of BSR
You said that normal distribution is the best. May I know from where you got this information?
i answer significant of BSR in the normal test can be factor to select best model?
Sir, the data used here is...?
a. original price data
b. prices that have been converted into natural log
c. returns (or the first difference of prices that have been converted into natural log)
Dear sir, I am in a bit of a fix with the calculation of Garch i have watched your videos thoroughly and I have to say its been quite an educational instrument, however for my issue is the measurement of exchange rate volatility of which its part of the independent variable in my model I succeeded in measured exchange rate volatility hence my question is how do i initiate my result into my model and determine how it affects the dependent variable
Dear Aido, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your
question there. Actually I am in that group and may help you. Thank you once
again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
hi... I amAmbili and I am doing research on exchange rate volatility and its effect on trade. Can you please tell me how you generated exchange rate volatility and how you incorporated it as an independent variable?
If we want find the volatility of the Indices of Asset S &P/ Case& Schiller Indices. Which dependent variables, Independent variables and variance regressors should i use?
In this case, indices of asset would be dependent variable but independent variables need to find out from journal articles, dealing with this particular topics.
Hello Sir.. I am currently doing my dissertation which involves volatility. I have already calculated the historical volatility of the variables and then I have carried out some tests on E-Views. Does it make sense to use the GARCH model after calculation of volatility?
hi mr hossain.thanks for excellent teaching.i have 1 question. when we compare model with 3 distribution.in normal distribution BSR is significant but the t-student and GED distribution is not significant.i think normal distribution is the best model. do you think like me a bout this matter?
I guess all are equally efficient. Normal distribution is one of them. Is there any writing telling that normal distribution is the best?
Tabriz is in Iran? Is it after the name Shams Tibriz? Sayed Hosain from Hossain Academy
Sir, I wish to know what happens when BBR is not stable (Recursive Estimation\ CUSUM test) Outside red ranges. Thanks for explanations
Hi, i am just wandering how can we define which factor is belonged to explantory varibal in mean equation and which factor is belonged to variance equation? This is because BBR may or may not be affected by BSR IBR BPR, how could we know which one is linked to explantory factor which one is associated with variance one. THX
Here I feel from literature study that BBR and BSR are linked and they are linked internally so I put both as mean equation. I also feel from literature study that fluctuation from IBR and PBR, which are neighboring countries of Bangladesh, can influence the volatility of BBR. So I put those IBR and PBR as external factors of BBR.
how about when you type BBR C BSR in mean equation
and then type BSR in variance equation then run the model.
Is it possible to give the correct information if i do so?
is it possible to test for only 2 variables? +Sayed Hossain
what about BSR in mean equation. what will be its interpretation??
BSR part I am not interested as I want to know GARCH part here only.
I know Sir but i just wanted to know that is it define correlation between dependent and independent variable??
I am doing research and i apply this model having 5 independent variable in MEAN EQUATION with Dependent Variable. I need to interpretate it.
If i eliminate BSR then the value of GARCH analyses will change. Does GARCH analyses take variations of BSR too from the MEAN EQUATION??
Indeed we have estimated mean equation so that we can take residual from mean equation to estimate variance equation, that is GARCH model. Other than this, I do not give value to mean equation. It is my comment
sir, what if the GARCH term is significant but ARCH and others are not significant in GARCh (1,1) model. can you explain what it signifies
dear sir
this is useful video thank you but i got an eror while i was modaling arch. the eror was about that "arch estimation requires a continous sample" what did i wrong? @Sayed Hossain
Dear sir;
this vedio is very helpful for me. In my research I have only one variable . Can I fit GARCH model for my data. Futher I suppose to fit ARIMA+GARCH(fit ARIMA model and fit GARCH model for residuals of the ARIMA model) model.how can I fit
this model in eviews? Do you have any vedio related to my question?
+Hansanie Priayngika Thank you. I would like to invite you to join Hossain Academy Facebook for greater interaction about economics, finance and econometrics with me. Thank you Sayed Hossain from Hossain Academy. Please join below and post your question.facebook.com/groups/hossainacademy/
Hi Reaperqnu....Cool to know. If possible leave a comment in my webpage guest book
Dear sir. in my research i have to apply the Garch model on ten sectors of economy to check the effect of volatility of one sector to another.. how could i proceed.
Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there for feedback. Thank you, Sayed Hossain from Hossain Academyfacebook.com/groups/hossainacademy/
can I develop this modal for only 2 variables? one dependent and one independent?
+MrTheshadiest
You can of course do but it must comply with theory or literature review.
+Sayed Hossain of course it is suitable in terms of literature review i think. my variables are stock prices and earnings (net income). stock prices or returns are dependent variable and earnings are independent variable. is it ok?
+MrTheshadiest Only theory or literature review on this area can tell you. As I am not working on this area I am unable to comment.
+Sayed Hossain yes i know but can you just interpret the results of mean equation cuz u didnt comment on the mean equation results is it the result of regression test only? does it show the effect of bsr on bbr?
C(4)+C(5)>1?
Dear sir, can u tell me how to use GARCH for panel data?
Dear Moona, Thank you. I would like to invite you to join Hossain Academy Facebook at below link and post your question there. If I know the answer I shall certainly respond. Thank you once again, Sayed Hossain from Hossain Academy. facebook.com/groups/hossainacademy/
Why C(4) + C(5)>1 ?
Angela Viviani No I put C(4)=C(5)=0
you are too much