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!!!
Yes, I do agree that you have the best econometrics series on UA-cam. Only one thing, I feel you speak sometimes so fast...And you need to explain how we interpret the estimated coefficients.
@@mishalkhaled8327 Thanks for the constructive feedback. Deeply appreciated. Always pause and rewind the clip whenever I am fast and jot down some notes too. For interpretations, since there are several papers on the GARCH model, I'll advise that understudy how results are interpreted and adapt same. I'll keep doing my best to assist the global research community. Thanks for watching and sharing...grateful!
Hahahaha Alpha, I'm just contributing my little quota to the academic community....and your compliment is humbly taken 😊. Wish you the best in your Masters program and tell your friends and academic community about my UA-cam Channel. Merry Christmas 🤶.
Thank you for the respond. I have watched must of your videos on ARCH and GARCH techniques in the sequential order. I have understood that the asymmetric GARCH model captures the the asymmetric effect (i.e negative and positive shock on conditional variance) but my question are as follows: 1.what does IGARCH takes Care of in the model but other asymmetric model can't take care of it (i.e EGARCH,TARCH ,PARCH, TS -GARCH) 2. what does the EGARCH take care of in the model but other asymmetric model member can't take care of it (i.e (IGARCH, TARCH, PARCH,TS-GARCH) 3. What does TARCH take care of in the model but other asymmetric GARCH model numbers can't take care of it (i.e IGARCH, EGARCH,PARCH, TS-GARCH) 4.what does PARCH take care of in the model but other asymmetric GARCH number can't take care of it (i.e IGARCH EGARCH, PARCH, TS-GARCH) And so on. Thank you so much.
Majammau, since you have watched my videos, get a paper to note their similarities and differences. Also, avail yourself of references provided at the end of my videos supported by articles and online resources for better understanding of these techniques.
Great videos, very straightforward and clear explanations. I have watched all of the ARCH and GARCH models. Thank you so much for your precious help :)
Hi Florian, thanks for the positive feedback and remarks on my UA-cam videos. Deeply appreciated! I am glad to be of help. Please may I know from where (location) you are reaching me?
@@floriandevaud9656 Awesome! Kindly spread the word about my UA-cam Channel to your friends and academic community in Switzerland 🇨🇭. They will find the content helpful too 😊...thanks!
Madam, I'm a regular viewer of your UA-cam channel. Your teaching style is exemplary. So all the videos are very informative. Madam could you please make a video about BEKK GARCH model?
Hi Ahmed, thanks for the positive feedback. Deeply appreciated. BEKK GARCH approach is a bit technical but I've penned it down for future tasks which will be uploaded to my Teachable paid platform. You can sign up or enroll with $200 to access all videos published in the School cruncheconometrix.teachable.com. Thanks.
Dear Adeleye, thanks for the video. Very informative. Can you please tell me how do you say that it has the presence of time varying conditional volatility?
Yes Arafa, I will. But the videos will be available on my CrunchEconometrix-Teachable platform. Here is the link cruncheconometrix.teachable.com/p/practical-econometrics-for-researchers-beginners-and-advanced-level-users-perba/. You can sign up as a USER to watch the free videos and when you pay the one-off fee of $200.00 you will be ENROLLED to watch all the amazing videos posted on the platform. Come on board and get value for money!
Hallo, Excellent job Ma, 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.
Hi Sasuka, I have provided detailed videos on GARCH covering different angles. You may want to watch all of them. If there are other specifics then kindly check out other online resources. Thanks
Hi! Thank you for your videos! It is very helpful. Can you please answer these two questions: 1) what does it mean if c from mean equation is insignificant considering a 5% significance level? 2) what does it mean if lets say r_ftse(-1) coefficient is negative but statistically significant at 5% significance level? I would greatly appreciate your response.
Hi Clarissa, you must understand ARCH before estimating GARCH. I've explained your queries in my ARCH videos. Kindly find the time to watch them. Thanks.
Hi :) Thanks for the helpful videos! May I ask how I can improve my ARCH model if some of the estimated coefficients are not significant ? Should I remove them ? Thanks :)
Hi, this is a very educational video so thank you very much. I have a question i got confused on. Do i have to start with analyzing data with arma and arima and then continue with arch-garch or can i directly analyze the data with the arch-garch model.
Hi Mila, thanks for the encouraging feedback. ARMA, ARIMA, ARCH, and GARCH share some similarities. I have videos on all. However, each can be engaged independently. Thanks
Hi, thanks for your tutorial video, it is really helpful. I am confused about the sample size, if I try to research quarterly data, the observations for 10 years only get 40 observations, should the sample size be applied ARCH or GARCH to estimate the volatility?
Hi Abby, 40 observations I'd fair enough to estimate either ARCH or GARCH models. So, decide on the technique you want to deploy based on your research objectives.
Madam you did a great job great explanation.kindly tell me why we mostly used GARCH(1,1) model and not more specification i.e GARCH (2,2) etc .kindly help me in this regard.
your videos helped me so much. i have exchange rate data and I need exchange rate volatility, how can I apply GARCH model? how can I fit GARCH into my time series to make a new one with the values of volaitliy?
I am studying Garch to examining efficient market hypotheses, thanks for upload this video, maam. I'm in my way to learning these all videos. But would you like to upload tutorial how estimating garch with rolling regression?
Dear madam thanks for your valuable videos I have a question and i hope you can help me with If the constant in the mean equation is not significant, what should i do ?
Thanks for helpful video! I am just wondering if I can use ARMA(1,1) model instead of using AR(1) for the mean equation and estimate the GARCH(1,1) model. can I write r_ftse c AR(1) MA(1) instead of r_ftse c r_ftse(-1) for mean equation?
Thanks for this video really so helpful I'm want to get series of exchange rate volatility (values of exchange rate volatility) by using garch model how can I do it?
Thanks Sania, for the positive feedback and remarks on my UA-cam videos. Deeply appreciated! Check through my Playlists for videos on structural breaks and watch my GARCH series for asymmetric effects.
Hi Justice, thanks for the heads up. You're the 3rd person to tell me this... I'm giving it some serious consideration😊. Please may I know from where (location) you are reaching me?
@@CrunchEconometrix I'm from England and I agree with Justice. Your 5 minute explanations are so much more useful than 1 or 2 hour lectures / seminars!
Hello Ma'am, what if the mean equation does not have significant autoregressive term but the variance equation has significant arch and garch coefficients? Will the results stand valid?
Hi dr. Adeyele, I'm currently doing a research for my dissertation about R&D expenditures and stock return volatility (both firm specific volatility and systematic volatility) for high-tech firms. So, volatility is the dependent variable in my study. I'm planning on using GARCH (1,1) model to measure volatility since this was suggested by my professor. I’m using weekly stock returns. My question is: do I need to use the conditional variance as dependent variable? And do I need to calculate this separately for each firm? Thanks!
Hi, you may need to watch my clips again as I explained the model specification. Since your data is split into two it becomes intuitive to generate volatility for each group. Thanks.
Hello Prof., I need to do estimate a panel GARCH for my term paper urgently. I can't find it for stata and Eviews. Need urgent help pls. I'm a subscriber to your channel. Great job. Keep it up.
Thanks, Theophilus for the encouraging words and for your subscription. Grateful! I have noted the topic on panel GARCH. At the moment, I have no idea about the technique. You may need to check other online resources. Regards.
Hi, I appreciate you for making this video However, I am using data of FTSE closing prices of the same time period but when I calculate the stock returns I am not getting the results you have at the start of the video. In Eviews I am commanding "series r_ftse = (log(ftse/ftse(-1)))*100". Any ideas on what I have to do to get the same results that you show in your r_ftse series?
Thank you for this excellent video. How we compare the results of GARCH for two different stock markets. I mean how we know which market is more volatile.
Jasem, much as I'm willing to assist students and researchers, I won't be spoon-feeding them. First, before you engage a GARCH analysis (which is quite technical), I would expect you to have done some extensive empirical review of the literature where you come across results interpretation, terminologies etc. Is it that you did not review any literature? I'm interested in your response.
Hi Maam I have 20 stokcs (Independent variables) and S&P 500 (dependent variable) Step 1: applied adf test (all variables are stationary at 1 level) step 2: applied johansen cointegration approach step 3: Yes if there is cointegration between stocks and nifty 50 step 4: applied vecm model after this any other analysis can we do sir for risk reduction ?
Hi Mahabub, are you sure your query is relevant to this video? You might need to watch the entire GARCH series to understand the assumptions and conditions.
hello! I had a question. what if the sum of my residual value and garch value were greater than 1? would it mean that the price trend is not persistent?
Dear Ma'am, I owe you a lot of respect, you are doing a commendable job. I have a query ma'am I am using difference data of exchange rate (DEXC) and for my mean equation I am just regressing DEXC on constant (C). After conforming the presence heteroscedasticity(Arch test) through OLS (with same equation ( DEXC C ). I run ARCH/GARCH model wherein in mean equation the coefficient of constant is insignificant but in the variance equation all the coefficients are significant (ARCH and Garch terms). Can I use this model, and for extracting the conditional variance; do I have to make use of GARCH variance series in PROC button.
Thank you so much professor, besides I have an another query, if we find in GARCH (1 1) the garch term is insignificant, is that ARCH (1)model. Do we have to run that model again by specifying 0 for garch and 1 for ARCH and then extract the conditional variance from ARCH (1) or can we extract conditional variance from former.
Dear Adeleye, also please tell me, if i want to find the impact of an event in a time series stock - daily trading index data, what tool should i be using?
Hi Nidhi, my videos on ARCH and GARCH modelling are well explained showing the steps to estimation. I will suggest you watch them again and support them with readings from articles and econometrics textbooks.
Hello! :) Thank you for doing this helpful videos. I have a question regarding my model. When I use the log(y)-log(y(-1)) the estimated coefficients are not significant. It is wrong if I use the y variable as it is instead for better results?
@@CrunchEconometrix Many thanks for your fast reply. I think that I expressed myself wrong. I wanted to say that first, I checked the stationarity in data and first of all, the data was non-stationary and I differenciate the data using the formula log(y)-log(y(-1)). The problem is when I try to apply GARCH model on this set of data that the coefficients are not significant, but when I apply it to the original set of data (y) the coefficiants are significant. Is it ok to consider the model applied on the original set of data ?
Good evening mam, thanks for such great videos. Mam how to perform diagnostic testing after performing GARCH model. Some papers have shown 3 diagnostic values as arch 1 arch 2 and q2 statistics. I have run GARCH 1,1 model with 1 arch effect. Kindly help me in computing these diagnostic values or share link of your videos where you have computed them
Hi Pauline, I gave clear interpretations so adapt your result. Also, I will encourage you to get any GARCH-based article and read up on the INTERPRETATION OF RESULTS.
Hi Folakemi, the constant captures the "average" volatility and insignificant implies it is NOT different from zero. It has the same interpretation with any coefficient that is statistically not significant.
how can i do this testing using stock close prices? the data you are using is prearranged but if I want to enter external data how do i feed it in eviews? also, do I need to make separate sheets for returns and previous day returns?
Hi Rupal, kindly watch my video on "Import excel file into EViews... You can use closing prices if you have the data and if the variable suits your study focus.
hello doc ,i am michael from ghana(MPHIL ECONOMICS) student researching on the topic exchange rate volatility and domestic investment ..... i have followed the procedures you demonstrated all your videos. In modelling my exchange rate volatility , i first test from the ARCH effect specifying my equation as (reer c reer(-1)) where reer is the annual real exchange rate , it passed the ARCH effect test therefore i go ahead and apply the GARCH(1,1) when i do it fails the stability test and the p values for the RESID(-1)^2 and GARCH(-1) are not significant , please what could be the problem....thanks for you response
hello Mummy i have tried both but still almost the same ......but i downloaded the tutorial data that you use in teaching , that worked but my own data isnt
if the coefficient of the past value of the average stock returns (R-FTSE(-1) prob value) is not significant under 1% level, then what does it signify? is the garch model applicable or not? because all other values are statistically significant.
Hello, I wonder that how could compare the performance of different GARCH models eg compare the performance of GARCH-M & standard GARCH thank you in advance!
@@CrunchEconometrix Thank you for your reply! Since I barely know what commonness really is, so could you tell me which values that I can compare from eviews? Thank you very much!
Hi mam, what should i do if my first part of the analysis, has an insignificant p value in the r_ftse in GARCH estimation? Also i tried different combinations of garch and arch combinations... pls advise
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!!!
Yes, I do agree that you have the best econometrics series on UA-cam. Only one thing, I feel you speak sometimes so fast...And you need to explain how we interpret the estimated coefficients.
@@mishalkhaled8327 Thanks for the constructive feedback. Deeply appreciated. Always pause and rewind the clip whenever I am fast and jot down some notes too. For interpretations, since there are several papers on the GARCH model, I'll advise that understudy how results are interpreted and adapt same. I'll keep doing my best to assist the global research community. Thanks for watching and sharing...grateful!
You are one of the best econometrician in the world, i am actually in Malaysia for my master...Thank you so much in advance
Hahahaha Alpha, I'm just contributing my little quota to the academic community....and your compliment is humbly taken 😊. Wish you the best in your Masters program and tell your friends and academic community about my UA-cam Channel. Merry Christmas 🤶.
Ok alright no problem 🙏🙏🙏
Thank you so much for sharing your knowledge, god bless you and your family
God bless you too, Tereza! 💖
I'm so happy I found a channel like this. I'm a student, and your videos are so helpful. 💜 Hugs from Perú.
Thanks, Telma for the encouraging feedback. Deeply appreciated! Much love from Nigeria 🇳🇬 💞
Thank you for the respond. I have watched must of your videos on ARCH and GARCH techniques in the sequential order. I have understood that the asymmetric GARCH model captures the the asymmetric effect (i.e negative and positive shock on conditional variance) but my question are as follows:
1.what does IGARCH takes Care of in the model but other asymmetric model can't take care of it (i.e EGARCH,TARCH ,PARCH, TS -GARCH)
2. what does the EGARCH take care of in the model but other asymmetric model member can't take care of it (i.e (IGARCH, TARCH, PARCH,TS-GARCH)
3. What does TARCH take care of in the model but other asymmetric GARCH model numbers can't take care of it (i.e IGARCH, EGARCH,PARCH, TS-GARCH)
4.what does PARCH take care of in the model but other asymmetric GARCH number can't take care of it (i.e IGARCH EGARCH, PARCH, TS-GARCH) And so on.
Thank you so much.
Majammau, since you have watched my videos, get a paper to note their similarities and differences. Also, avail yourself of references provided at the end of my videos supported by articles and online resources for better understanding of these techniques.
Thank you very much, your video had so many useful information for me👌
Great videos, very straightforward and clear explanations. I have watched all of the ARCH and GARCH models. Thank you so much for your precious help :)
Hi Florian, thanks for the positive feedback and remarks on my UA-cam videos. Deeply appreciated! I am glad to be of help. Please may I know from where (location) you are reaching me?
From Switzerland :)
@@floriandevaud9656 Awesome! Kindly spread the word about my UA-cam Channel to your friends and academic community in Switzerland 🇨🇭. They will find the content helpful too 😊...thanks!
Madam, I'm a regular viewer of your UA-cam channel. Your teaching style is exemplary. So all the videos are very informative. Madam could you please make a video about BEKK GARCH model?
Thanks for the encouraging words and feedback, Raki. I have noted the suggestion but the video will be published on my Teachable paid platform.
Your videos are very helpful, please prepare any video on estimation and interpretation of BEKK GARCH Model
Hi Ahmed, thanks for the positive feedback. Deeply appreciated. BEKK GARCH approach is a bit technical but I've penned it down for future tasks which will be uploaded to my Teachable paid platform. You can sign up or enroll with $200 to access all videos published in the School cruncheconometrix.teachable.com. Thanks.
Fantastic video. Thank you.
Thanks for the encouraging feedback, Troy. Deeply appreciated 🥰🙏
Thanks Dr. Can you recommend resources for learning how to interpret results?
I have videos on results interpretation. Kindly check through my Playlists.
These are so helpful! Thank you.
U're welcome, Sarim! Please may I know from where (location) you are reaching me?
@@CrunchEconometrix Toronto Canada
Dear Adeleye, thanks for the video. Very informative. Can you please tell me how do you say that it has the presence of time varying conditional volatility?
Hi Vinu, I explained this concept from my ARCH videos to GARCH. You need to watch the ARCH videos for background understanding.
Thank you for all the videos ma'am. I really enjoy it. Please make about multivariate garch. Thank you
Yes Arafa, I will. But the videos will be available on my CrunchEconometrix-Teachable platform. Here is the link cruncheconometrix.teachable.com/p/practical-econometrics-for-researchers-beginners-and-advanced-level-users-perba/. You can sign up as a USER to watch the free videos and when you pay the one-off fee of $200.00 you will be ENROLLED to watch all the amazing videos posted on the platform. Come on board and get value for money!
Hallo, Excellent job Ma, 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.
Hi Sasuka, I have provided detailed videos on GARCH covering different angles. You may want to watch all of them. If there are other specifics then kindly check out other online resources. Thanks
Great job Queen
Thanks for the kind words, Estevao!
plz make a vedio on multivariate garch model. your univariate garch series is excellent
Suggestion is noted, Chantal. Thanks! 💞
Hi! Thank you for your videos! It is very helpful. Can you please answer these two questions: 1) what does it mean if c from mean equation is insignificant considering a 5% significance level? 2) what does it mean if lets say r_ftse(-1) coefficient is negative but statistically significant at 5% significance level? I would greatly appreciate your response.
Hi Clarissa, you must understand ARCH before estimating GARCH. I've explained your queries in my ARCH videos. Kindly find the time to watch them. Thanks.
Thank you, this saves my life
You are welcome, Hien!
@@CrunchEconometrix I've introduced your videos to my friends. They do love them. Thank you a lot
Hi :) Thanks for the helpful videos!
May I ask how I can improve my ARCH model if some of the estimated coefficients are not significant ? Should I remove them ? Thanks :)
Hi Sarah, thanks for the encouraging feedback. Deeply appreciated! You can change the variable to a closer proxy for better results.
Hi, this is a very educational video so thank you very much.
I have a question i got confused on. Do i have to start with analyzing data with arma and arima and then continue with arch-garch or can i directly analyze the data with the arch-garch model.
Hi Mila, thanks for the encouraging feedback. ARMA, ARIMA, ARCH, and GARCH share some similarities. I have videos on all. However, each can be engaged independently. Thanks
Hi, thanks for your tutorial video, it is really helpful. I am confused about the sample size, if I try to research quarterly data, the observations for 10 years only get 40 observations, should the sample size be applied ARCH or GARCH to estimate the volatility?
Hi Abby, 40 observations I'd fair enough to estimate either ARCH or GARCH models. So, decide on the technique you want to deploy based on your research objectives.
Madam you did a great job great explanation.kindly tell me why we mostly used GARCH(1,1) model and not more specification i.e GARCH (2,2) etc .kindly help me in this regard.
Thanks for the encouraging feedback, Neelma. Deeply appreciated! Kindly watch my background video on GARCH modelling. Thanks.
your videos helped me so much. i have exchange rate data and I need exchange rate volatility, how can I apply GARCH model? how can I fit GARCH into my time series to make a new one with the values of volaitliy?
Hi Mizazzez, the knowledge of ARCH volatility is applicable to GARCH.
I am studying Garch to examining efficient market hypotheses, thanks for upload this video, maam. I'm in my way to learning these all videos. But would you like to upload tutorial how estimating garch with rolling regression?
I will once I understand the procedure.
@@CrunchEconometrix thank you.. greeting from Indonesia
Practical Aspects
www.bucketscene.com/post/generalised-autoregressive-conditional-heteroskedasticity-1-1-approach
Thank you😭😭😭. These are so helpful.!
Thanks for the positive feedback, Febria!
Dear madam thanks for your valuable videos
I have a question and i hope you can help me with
If the constant in the mean equation is not significant, what should i do ?
Thanks for the positive feedback, Ali...you interpret what you have.
Thanks for helpful video! I am just wondering if I can use ARMA(1,1) model instead of using AR(1) for the mean equation and estimate the GARCH(1,1) model. can I write r_ftse c AR(1) MA(1) instead of r_ftse c r_ftse(-1) for mean equation?
Are you implying an ARMA (1,1) or GARCH (1,1) modeling? Which one?
Hi Dr, what is the minimum observations for garch models, including egarch? I have cpi monthly from 2010:1 to 2018:12.
Hi Mustang, from the central limit theorem, a minimum of 30 observations.
Hello, Within the E-views output of Garch model, where can we identify the values of Alpha, Beta and Omega? Thanks
You can watch my EViews GARCH videos to get the basic estimations.
Thanks for this video really so helpful
I'm want to get series of exchange rate volatility (values of exchange rate volatility) by using garch model how can I do it?
Hi Ahlem, not sure how to obtain this. You may need to check other online resource. Thanks.
Hi, I want to appreciate your all lectures. I want to request you some lecture on spillover effects, structural breaks.
Thanks Sania, for the positive feedback and remarks on my UA-cam videos. Deeply appreciated! Check through my Playlists for videos on structural breaks and watch my GARCH series for asymmetric effects.
Practical Aspects
www.bucketscene.com/post/generalised-autoregressive-conditional-heteroskedasticity-1-1-approach
Using Arch Garch model. Can we find the daily volatility? Please let me know.
Hi Rochelle, volatility is directly related to your data structure.
Have you ever thought of writing a book on econometrics? No doubt, your will simply be the best.
Hi Justice, thanks for the heads up. You're the 3rd person to tell me this... I'm giving it some serious consideration😊. Please may I know from where (location) you are reaching me?
@@CrunchEconometrix I'm from England and I agree with Justice. Your 5 minute explanations are so much more useful than 1 or 2 hour lectures / seminars!
@@someguy909 Hahahaha, I'm encouraged by your comments. Tell fellow academics in the UK 🇬🇧 about my UA-cam Channel and stay safe🙏
Very nice video, thank you.
Concerning the results of GARCH, is the normality of the residuals to be tested or is it not necessary?
Hi Pepe, thanks for the encouraging feedback. Deeply appreciated. You may want to watch my ARCH videos. I covered diagnostics.
This video helped me a lot! Thank You!
Good to know, Vishnu...thanks!
Hello Ma'am, what if the mean equation does not have significant autoregressive term but the variance equation has significant arch and garch coefficients? Will the results stand valid?
Mohd, the mean and variance equation provide different answers. So, interpret your results in accordance with what you got.
Hi dr. Adeyele,
I'm currently doing a research for my dissertation about R&D expenditures and stock return volatility (both firm specific volatility and systematic volatility) for high-tech firms. So, volatility is the dependent variable in my study.
I'm planning on using GARCH (1,1) model to measure volatility since this was suggested by my professor. I’m using weekly stock returns. My question is: do I need to use the conditional variance as dependent variable? And do I need to calculate this separately for each firm? Thanks!
Hi, you may need to watch my clips again as I explained the model specification. Since your data is split into two it becomes intuitive to generate volatility for each group. Thanks.
Hello Prof., I need to do estimate a panel GARCH for my term paper urgently. I can't find it for stata and Eviews. Need urgent help pls. I'm a subscriber to your channel. Great job. Keep it up.
Thanks, Theophilus for the encouraging words and for your subscription. Grateful! I have noted the topic on panel GARCH. At the moment, I have no idea about the technique. You may need to check other online resources. Regards.
Hi can you please help me I am writing an article and want to learn dcc garch model working in eveiws
Hi, I appreciate you for making this video
However, I am using data of FTSE closing prices of the same time period but when I calculate the stock returns I am not getting the results you have at the start of the video.
In Eviews I am commanding "series r_ftse = (log(ftse/ftse(-1)))*100".
Any ideas on what I have to do to get the same results that you show in your r_ftse series?
The variable used was already computed. I only used it as given.
Thank you for this excellent video. How we compare the results of GARCH for two different stock markets. I mean how we know which market is more volatile.
Hi Jasem, your query is a bit mis-leading. Kindly make it more explicit. Thanks.
@@CrunchEconometrix I did the GARCH test for two different stock markets. I need to know which market is more volatile than the others? thanks a lot
Jasem, much as I'm willing to assist students and researchers, I won't be spoon-feeding them. First, before you engage a GARCH analysis (which is quite technical), I would expect you to have done some extensive empirical review of the literature where you come across results interpretation, terminologies etc. Is it that you did not review any literature? I'm interested in your response.
@@CrunchEconometrix Thank you. I am not your student to be spoon-fed,. Anyway, no need to ask you more questions, sorry to disturb you Doc.
No worries Jasem, and no pun intended. You are free to post your queries and I will do my best as always to guide appropriately. Regards.
do i need to conduct a augment dickey fuller test before ARCH/GARCH?
Yes, Rupal.
What software are you using to plot these models? Excel?
The name of the software is ALWAYS indicated in the first line of the video description.
Hi Maam
I have 20 stokcs (Independent variables) and S&P 500 (dependent variable)
Step 1: applied adf test (all variables are stationary at 1 level)
step 2: applied johansen cointegration approach
step 3: Yes if there is cointegration between stocks and nifty 50
step 4: applied vecm model
after this any other analysis can we do sir for risk reduction ?
Hi Mahabub, are you sure your query is relevant to this video? You might need to watch the entire GARCH series to understand the assumptions and conditions.
hello! I had a question. what if the sum of my residual value and garch value were greater than 1? would it mean that the price trend is not persistent?
Hi Sahana, adapt your interpretation analogous to when the sum is less than 1.
Dear Ma'am, I owe you a lot of respect, you are doing a commendable job. I have a query ma'am I am using difference data of exchange rate (DEXC) and for my mean equation I am just regressing DEXC on constant (C). After conforming the presence heteroscedasticity(Arch test) through OLS (with same equation ( DEXC C ). I run ARCH/GARCH model wherein in mean equation the coefficient of constant is insignificant but in the variance equation all the coefficients are significant (ARCH and Garch terms). Can I use this model, and for extracting the conditional variance; do I have to make use of GARCH variance series in PROC button.
Hi Aamir, yes you can.
Thank you so much professor, besides I have an another query, if we find in GARCH (1 1) the garch term is insignificant, is that ARCH (1)model. Do we have to run that model again by specifying 0 for garch and 1 for ARCH and then extract the conditional variance from ARCH (1) or can we extract conditional variance from former.
Dear Adeleye, also please tell me, if i want to find the impact of an event in a time series stock - daily trading index data, what tool should i be using?
There are several techniques to model volatility which you must have covered in your empirical reviews. ARCH and GARCH are some of them.
Thank you, but just thought I would get your idea
hi, do you know if it is possible to do a Dynamic conditional correlation garch model in Eviews?
Hi Joshua, it is possible in EViews but I have no idea yet.
Hii how to decide the order of garch . or is it ok to consider garch (1,1) without checking ACF and PACF
Hi Nidhi, my videos on ARCH and GARCH modelling are well explained showing the steps to estimation. I will suggest you watch them again and support them with readings from articles and econometrics textbooks.
Good evening ma
I'm currently working exchange rate volatility
Can I use GARCH on annual time series data
Samjoe, GARCH is suitable for high-frequency data. I explained it in the introductory video.
Hello! :) Thank you for doing this helpful videos. I have a question regarding my model. When I use the log(y)-log(y(-1)) the estimated coefficients are not significant. It is wrong if I use the y variable as it is instead for better results?
Hi Maria, yes you can use the difference of the level of y.
@@CrunchEconometrix Many thanks for your fast reply. I think that I expressed myself wrong. I wanted to say that first, I checked the stationarity in data and first of all, the data was non-stationary and I differenciate the data using the formula log(y)-log(y(-1)). The problem is when I try to apply GARCH model on this set of data that the coefficients are not significant, but when I apply it to the original set of data (y) the coefficiants are significant. Is it ok to consider the model applied on the original set of data ?
Yes. That is what I meant by "use the difference of the LEVEL of y" .
Good evening mam, thanks for such great videos. Mam how to perform diagnostic testing after performing GARCH model. Some papers have shown 3 diagnostic values as arch 1 arch 2 and q2 statistics. I have run GARCH 1,1 model with 1 arch effect. Kindly help me in computing these diagnostic values or share link of your videos where you have computed them
Hi Shubham, you may need to check out other online resources for this.
Hi. May I know what to do if the coefficient of r_ftse (-1) is negative and insignificant?
but my arch and garch coefficients are positive and statistically significant.
Hi Pauline, I gave clear interpretations so adapt your result. Also, I will encourage you to get any GARCH-based article and read up on the INTERPRETATION OF RESULTS.
is there any connection between white noise and ARCH effect? please help mam
Sunita, your query is outside the scope of this video. You can do further findings online.
Good day ma, please what does a negative and insignificant GARCH constant term imply while the ARCH constant term is positive and significant?
Hi Folakemi, the constant captures the "average" volatility and insignificant implies it is NOT different from zero. It has the same interpretation with any coefficient that is statistically not significant.
Hi Dr. How add GARCH (1,1) into OLS?
Hi Pavilion, no idea. You may want to check out other online resources. Thanks.
how can i do this testing using stock close prices? the data you are using is prearranged but if I want to enter external data how do i feed it in eviews? also, do I need to make separate sheets for returns and previous day returns?
Hi Rupal, kindly watch my video on "Import excel file into EViews... You can use closing prices if you have the data and if the variable suits your study focus.
Hi madam, I wanna ask if the mean equation is not significant can we use the garch model or not?
Hi Henry, you can and interpret your results accordingly. Kind regards.
@@CrunchEconometrix pls help us with a clue
Banele, you can adapt the interpretation from my videos to suit your results.
@@CrunchEconometrix thank you 😊
Can I derive my arch result in the STATA, or I can only do this on the Eviews.
You should.
hello doc ,i am michael from ghana(MPHIL ECONOMICS) student researching on the topic exchange rate volatility and domestic investment ..... i have followed the procedures you demonstrated all your videos. In modelling my exchange rate volatility , i first test from the ARCH effect specifying my equation as (reer c reer(-1)) where reer is the annual real exchange rate , it passed the ARCH effect test therefore i go ahead and apply the GARCH(1,1) when i do it fails the stability test and the p values for the RESID(-1)^2 and GARCH(-1) are not significant , please what could be the problem....thanks for you response
Hi Michael, did you use the level or 1st difference of "reer"?
hello Mummy i have tried both but still almost the same ......but i downloaded the tutorial data that you use in teaching , that worked but my own data isnt
@@michaelbaah7162 Could it be that the "reer" is not a high frequency (daily, weekly) data?
Hi thank you very Much. My question when we find positve alpha1 and alpha 2 what we do is it add alpha1 +alpha2 +beta1 = ???
Hi Belkhir, please are you referring to this video? I don't quite understand your query.
@@CrunchEconometrix i means for exemple GARCH (2.2) wich alpha and beta we addtion a+b less 1
if the coefficient of the past value of the average stock returns (R-FTSE(-1) prob value) is not significant under 1% level, then what does it signify? is the garch model applicable or not? because all other values are statistically significant.
Is it significant at 5% or 10%?
@@CrunchEconometrix it's coming out to be 0.1854
Not statistically significant.
@@CrunchEconometrix thank you so much
Hello, I wonder that how could compare the performance of different GARCH models eg compare the performance of GARCH-M & standard GARCH thank you in advance!
Hi Will, you can use the commoness between the two techniques for comparison. Thanks.
@@CrunchEconometrix Thank you for your reply! Since I barely know what commonness really is, so could you tell me which values that I can compare from eviews? Thank you very much!
Will, commoness means similarities from their results.
@@CrunchEconometrix thank you prof! Have a good day!
I want to ask, does the garch model have to be normality?
No.
@@CrunchEconometrix Why? Is it possible if the Arimax model with the transfer function model is continued with the Garch model?
I have no idea what you mean.
can i use Ordinary Least Squares (ols) to estimate GARCH model ? and how in EViews ?
Hi Osama, you may seek other online resources for that. Thanks.
Hey Osama, I heard ML is better way to estimate GARCH than OLS as GARCH is non-linear model.
Need help ful working of dcc garch model in eviews ,best work kepp it up.please help
What to do when arch(1) coefficient is negative
Arup, I gave clear discussion on this. Kindly use the info to address your result.
Hi mam, what should i do if my first part of the analysis, has an insignificant p value in the r_ftse in GARCH estimation? Also i tried different combinations of garch and arch combinations... pls advise
Hi Vinu, did you use my data or yours?
@@CrunchEconometrix mine.. My sample
You may have to report what you have.
constant term (C) can be negative??
That will depend on your data and scope of study.
good day madam i am from India.. what if the garch value is negative?
Hi Jene, simply adapt your interpretation with if positive.
Hi Jene, simply adapt your interpretation with if positive.
What if you have bubbles?
The data for the series will capture the trends (bubbles et al) and you engage GARCH for the analysis.
What to do if r square comes negative?
Not encountered that problem. That may occur if you exclude the CONSTANT during regression.
this r_ftse means per day price of a stock???
Syed, please STOP using multiple question marks. It is very unnecessary and also very rude. Ask your questions POLITELY. Regards.
@@CrunchEconometrix I didn't mean to hurt you
But this type of attitude won't lead to more subscribers.
Correcting you won't make me lose subscribers. Give me some credit. My videos are very informative. Learn to ask questions politely.
God save u great man
Thanks Hamza!
Can anyone tell me what is "
ftse"?
Simply do a Google search.