--- Beat Hintermann wrote:
> Can anyone tell me if Stata has a measure that evaluates goodness of
> fit of an ARCH model?
>
> I know the BIC and AIC, but they are useful only in relative terms
> when comparing models. Is there anything like a pseudo Rsquared, or
> some other measure that indicates how much of the variation is
> accounted for by the model, and how much is left unexplained?
This may or may not apply:
http://www.stata.com/support/faqs/stat/rsquared.html
Hope this helps,
Maarten
-----------------------------------------
Maarten L. Buis
Department of Social Research Methodology
Vrije Universiteit Amsterdam
Boelelaan 1081
1081 HV Amsterdam
The Netherlands
visiting address:
Buitenveldertselaan 3 (Metropolitan), room Z434
+31 20 5986715
http://home.fsw.vu.nl/m.buis/
-----------------------------------------
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