Beloved guest/subscriber, you have discovered my amazing TH-cam Channel tailored specifically for you and other beginners and intermediate users. Please do not keep me to yourself (lol). Kindly share my videos and links with your students, colleagues and academic community so that they too can SUBSCRIBE and learn with ease….and for the global community to be aware that applied econometrics can be simplified. 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. Follow me on Facebook, Twitter and Reddit. Love you all, greatly!!!
Hi Nazia, I have comprehensive videos on GARCH and ARCH modeling. Kindly watch them and listen to the interpretations. GARCH/ARCH data is available free of charge on my website crunchconometrix.com.ng/shop/
Thanks a lot for the video then i have a question when i didn't find an ARCH effect for some countries and i didn't drop it because there are so important in my work. What should i do to get the ARCH effect? Any suggestions ? thanks
Dear Adeleye.. Thanks for all your videos. They are really helpful for me for my research analysis. Clearly explained, well delivered. Short and crisp and to the point. You are a wonderful teacher. Thank you so much. God Bless you and your work.
Hello Professor. I was able to use your videos to pass a course I took on Econometrics...with no prior knowledge. I did mine mostly using open-source R and some Python as I have no useful knowledge of eviews; besides the course required open source tools like R and Python. Your videos broke it down for me to a level a newbie would be comfortable with without losing the essence and thoroughness required in the course.
Great video. I am doing my thesis in calendar anomalies in agricultural futures and i have no idea of ARCH models. These are all new to me. This video is very helpful.
@@HaiderAli-mu3mq Awesome, Haider! I'll appreciate it if you can share the link to my TH-cam Channel with your friends and academic community in Pakistan 🇵🇰 and beyond for awareness...thanks 😊.
@@adamroble7106 Awesome! Please spread the word about my videos to your colleagues in Russia 🇷🇺 and Somalia 🇸🇴. They'll learn some useful tips and skills too...thanks 😊
Well done Prof. Ahhm! in estimate ARCH effects, is there need for order of integration? that is at what stationarity does a researcher run the ARCH model. is it that all variable must be significant at levels, or first difference, or both? Thank you..
I am checking the relationship of 3 ratios on stock returns .. I find in the literature that they have given LM statistic variable wise .. not for the entire model .. how to get the LM statistic variable wise
Good day ma, while inserting variables in the "estimate equation" box why did you include the lagged variable I mean r_ftse(-1)? And is it always compulsory to do that?
Hi Folakemi, you need to first understand the model specification BEFORE estimation the model. Please watch the clip again and pay attention to the model specification for you to know the essence of the lagged term.
Thanks for your video! How I identify if there is a higher-order of ARCH? I have volatility clustering but if I try to test for an ARCH(1) it does not show arch effect
Hi Muhammad, due to abuse and unethical conduct datasets used in my videos are no longer free (some are free though) but available on my website upon payment. Here's the link cruncheconometrix.com/view/datashop.php
Thank your great teaching Pls help me to interpret my results Heteroskedasticity Test: ARCH F-statistic 4.108053 Prob. F(1,295) 0.0436 Obs*R-squared 4.079100 Prob. Chi-Square(1) 0.0434 I think I am not able to reject the null hypothesis at a 1% level of significance. can I use the 5% level?
Hi Ngozi, thank you for the video. it reallly helped as your presentation is clear and delivered. However can i test for arch effect on stock price rather than the returns?
This is the best GARCH-explaining video I watched so far, thank you so much, but I have a question I have monthly data of stock returns, when I test for ARCH effect, it is rejected at lag 1, but probability value is significant at lag 2. What should I do in this case? does this mean that I need to include two lags in the mean equation? help me please
I have one doubt, how do you determine if the model has an Arch effect? I didnt understand the part where you had discussed regarding the p value and the R2 value? Could you please elaborate on that?
Ma'am the data used to be a log value of daily returns or actual value of return? Which one can be used for checking heteroscedasticity test-actual or log value?
Hi Dr.! Thanks for the video, it is really helpful. I just wanna ask, if I want to test for presences of ARCH(3) effects, do I need to include all variable like this [r_ftse c r_ftse(-1) r_ftse(-2) r_ftse(-3)]?
When I run a Q-test using (corrgram in STATA) on my squared residuals the correlations show strong evidence towards GARCH-effects, but when I do the archlm-test I fail to reject H0. What can I conclude from this?
Hi Dr. Hope you are doing well. My data is monthly percentage change in the CPI for 9 years (And it has passed the stationary test). However, ARCH(1) test is not significant (p-value >0.05). What's your comment if I want to proceed to GARCH (1 1) model . Thank you Dr.
Hi Khairul, thanks for the positive feedback and kind remarks about my TH-cam videos. Deeply appreciated! The rule is simple: no arch effects, no ARCH model. Hence, no GARCH model too.
Hi Dr. Thanks for your lovely video. Please when there is no arch effect after the data has passed stationery . Please what is way forward in order for presence of arch effect before proceed to GARCH(1, 1) model.
mam i have 2 queries here kindly guide me : 1st how you decided 1 lag for arch lm test. 2nd in case if we do not want to model Garch but our model has hetero than what would be alternate.
@@CrunchEconometrix mam truly you are very kind hearted and great teacher that we have with us... thankyou so much for your guidance.and always keep us enlightening with your knowledge.
Hi Ramandeep, yes. Kindly watch the video again and the prerequisites. I covered the basics. Please may I know from where (location) you are reaching me?
Hi, I love your videos and find them super beneficial however i have a question Im running this test for 11 different time series, for one country i have broken time period into three parts and one of the periods is insignificant and we accept the null but if we run the test for the overall period or the other two parts they are significant, do we still estimate the arch? and if we look at the graph it is evident of volatility clustering. however it is highly insignificant for ARCH 1 lag but I have tried 2 lags and the probability then becomes significant, I'm not sure what this means?
Beloved guest/subscriber, you have discovered my amazing TH-cam Channel tailored specifically for you and other beginners and intermediate users. Please do not keep me to yourself (lol). Kindly share my videos and links with your students, colleagues and academic community so that they too can SUBSCRIBE and learn with ease….and for the global community to be aware that applied econometrics can be simplified. 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. Follow me on Facebook, Twitter and Reddit. Love you all, greatly!!!
Hi
How to interpret the data in excel for ARCH AND GARCH model nd where from get the data plzzz tell me
Hi Nazia, I have comprehensive videos on GARCH and ARCH modeling. Kindly watch them and listen to the interpretations. GARCH/ARCH data is available free of charge on my website crunchconometrix.com.ng/shop/
Thanks a lot for the video then i have a question when i didn't find an ARCH effect for some countries and i didn't drop it because there are so important in my work. What should i do to get the ARCH effect? Any suggestions ? thanks
Ahlem, if your model has no ARCH effect there's nothing to do about it...to the best of my knowledge, though.
Dear Adeleye.. Thanks for all your videos. They are really helpful for me for my research analysis. Clearly explained, well delivered. Short and crisp and to the point. You are a wonderful teacher. Thank you so much. God Bless you and your work.
You're most welcome, Vinu!
Thank you professor, your videos are so easy to understand. I hope you all the good in life for teaching us the beginners
So nice of you, Taufan...and amen to your prayers!!!
Excellent video. I want to use GARCH, before which I need to test ARCH and that's why I watched this video. It is so clear and logic, thank you.
Thanks for the encouraging feedback, Yu. Deeply appreciated! Please may I know from where (location) you are reaching me?
Hello Professor. I was able to use your videos to pass a course I took on Econometrics...with no prior knowledge. I did mine mostly using open-source R and some Python as I have no useful knowledge of eviews; besides the course required open source tools like R and Python. Your videos broke it down for me to a level a newbie would be comfortable with without losing the essence and thoroughness required in the course.
I'm popping champagne for you, Ricky! Congratulations!!! Please tell your colleagues about my Channel...thanks!
Great video. I am doing my thesis in calendar anomalies in agricultural futures and i have no idea of ARCH models. These are all new to me. This video is very helpful.
Thanks, Aggelina for the encouraging feedback. Deeply appreciated!
U R a great teacher whenever i have a problem in eview than i learn through your lecture.... Your teaching method is mazing ❤
Compliment is humbly taken, Haider. Thank you. May I know from where (location) you are reaching me?
@@CrunchEconometrix Pakistan
@@HaiderAli-mu3mq Awesome, Haider! I'll appreciate it if you can share the link to my TH-cam Channel with your friends and academic community in Pakistan 🇵🇰 and beyond for awareness...thanks 😊.
I just liked your explanation! You must be experienced professor.
Hahahaha, thanks for the positive feedback Adam😊. May I know from where (location) you are reaching me?
I am reaching you from Russia, but i am from Somalia. I study here!
@@adamroble7106 Awesome! Please spread the word about my videos to your colleagues in Russia 🇷🇺 and Somalia 🇸🇴. They'll learn some useful tips and skills too...thanks 😊
GREAT WORK THANKS
Thanks Maria!😍
i loveee your replies to the below comments. really helpful
Thanks, Dijah for the positive feedback. Deeply appreciated!
@@CrunchEconometrix ❤️❤️❤️
Well done Prof.
Ahhm! in estimate ARCH effects, is there need for order of integration? that is at what stationarity does a researcher run the ARCH model. is it that all variable must be significant at levels, or first difference, or both?
Thank you..
Alibaba, I gave clear explanations about what to do. You may want to watch the video again and adapt to your study.
I am checking the relationship of 3 ratios on stock returns .. I find in the literature that they have given LM statistic variable wise .. not for the entire model .. how to get the LM statistic variable wise
I have no idea about this, Naveen. You may want to check out other online resources. Thanks.
Good day ma, while inserting variables in the "estimate equation" box why did you include the lagged variable I mean r_ftse(-1)? And is it always compulsory to do that?
Hi Folakemi, you need to first understand the model specification BEFORE estimation the model. Please watch the clip again and pay attention to the model specification for you to know the essence of the lagged term.
Thanks for your video! How I identify if there is a higher-order of ARCH? I have volatility clustering but if I try to test for an ARCH(1) it does not show arch effect
Alvise, if the test shows no ARCH effects why do you want to create one?
Tnx
U're welcome, Kumru! 🥰🙏
Hello, nice to share the videos. I thing I don’t understand how did you load the data?
Parvel, kindly watch my video on how to import excel file into EViews.
How to apply Ljung box q statistics in e-views
Hi Ruchi, kindly watch my ARCH and ARIMA videos in EViews. Thanks.
What if I unable to reject the null hypothesis. Can I use Grach model? Without arch rejecting null hypothesis?
Hi Mohd, if there are no ARCH effects, you can not use the GARCH technique.
@@CrunchEconometrix can I do it by taking returns first difference?
You can.
How can we download the data? I can't found it in the given link.
Hi Muhammad, due to abuse and unethical conduct datasets used in my videos are no longer free (some are free though) but available on my website upon payment. Here's the link cruncheconometrix.com/view/datashop.php
Thank your great teaching
Pls help me to interpret my results
Heteroskedasticity Test: ARCH
F-statistic 4.108053 Prob. F(1,295) 0.0436
Obs*R-squared 4.079100 Prob. Chi-Square(1) 0.0434
I think I am not able to reject the null hypothesis at a 1% level of significance. can I use the 5% level?
Yes, Sunita.
Hi Ngozi, thank you for the video. it reallly helped as your presentation is clear and delivered.
However can i test for arch effect on stock price rather than the returns?
Hi Ololade, thanks for the positive feedback. Deeply appreciated! Yes, you can use prices. May I know from where (location) you are reaching me?
This is the best GARCH-explaining video I watched so far, thank you so much, but I have a question
I have monthly data of stock returns, when I test for ARCH effect, it is rejected at lag 1, but probability value is significant at lag 2. What should I do in this case? does this mean that I need to include two lags in the mean equation? help me please
Thanks for the encouraging feedback. Deeply appreciated! As I mentioned, this test is just to confirm if you need to engage the ARCH procedure or not.
I have one doubt, how do you determine if the model has an Arch effect? I didnt understand the part where you had discussed regarding the p value and the R2 value? Could you please elaborate on that?
Hi Abhishek, explanation is clear and straightforward. A significant pvalue validates the presence of ARCH. Please watch the clip again. Thanks.
Ma'am the data used to be a log value of daily returns or actual value of return? Which one can be used for checking heteroscedasticity test-actual or log value?
You can use the raw or log form.
Is r_ftse c r_ftse(-1) the same as typing r_ftse c ar(1)?
Dasun, my videos are well-explained. Kindly follow what I did. Thanks.
Hi Dr.! Thanks for the video, it is really helpful. I just wanna ask, if I want to test for presences of ARCH(3) effects, do I need to include all variable like this [r_ftse c r_ftse(-1) r_ftse(-2) r_ftse(-3)]?
Afiqah, the software computes that automatically.
When I run a Q-test using (corrgram in STATA) on my squared residuals the correlations show strong evidence towards GARCH-effects, but when I do the archlm-test I fail to reject H0. What can I conclude from this?
You decide which test you want to adopt after understanding their underlying assumptions. My advice is that you read up on them.
Hi Dr. Hope you are doing well. My data is monthly percentage change in the CPI for 9 years (And it has passed the stationary test). However, ARCH(1) test is not significant (p-value >0.05). What's your comment if I want to proceed to GARCH (1 1) model . Thank you Dr.
Hi Khairul, thanks for the positive feedback and kind remarks about my TH-cam videos. Deeply appreciated! The rule is simple: no arch effects, no ARCH model. Hence, no GARCH model too.
Hi Dr. Thanks for your lovely video.
Please when there is no arch effect after the data has passed stationery . Please what is way forward in order for presence of arch effect before proceed to GARCH(1, 1) model.
the probability is coming out as 0.021, what should i infer?
Hi Rupal, I interpreted my results. Kindly adapt to yours. Thanks.
mam i have 2 queries here kindly guide me : 1st how you decided 1 lag for arch lm test. 2nd in case if we do not want to model Garch but our model has hetero than what would be alternate.
Hi Meenakshi, lag as obtained is covered in all my time series videos. Once there is ARCH effects, advisable to estimate either ARCH or GARCH.
@@CrunchEconometrix mam truly you are very kind hearted and great teacher that we have with us... thankyou so much for your guidance.and always keep us enlightening with your knowledge.
Hello, Madam, Do we need a stationary series for running the ARCH model?
Hi Ramandeep, yes. Kindly watch the video again and the prerequisites. I covered the basics. Please may I know from where (location) you are reaching me?
@@CrunchEconometrix india
Hi, I love your videos and find them super beneficial however i have a question Im running this test for 11 different time series, for one country i have broken time period into three parts and one of the periods is insignificant and we accept the null but if we run the test for the overall period or the other two parts they are significant, do we still estimate the arch? and if we look at the graph it is evident of volatility clustering. however it is highly insignificant for ARCH 1 lag but I have tried 2 lags and the probability then becomes significant, I'm not sure what this means?
I'm not clear about your query, Siri.
@@CrunchEconometrix what happens if I still run the estimate garch for a model where the probability test isn't significant?
It implies there's no volatility in the variable.
But when I change the arch lag to 2, it becomes significant? What does this mean?