Dear all,
I performed the following GARCH(1,1) model, with three dummy
variables. I included just two dummies to avoid the dummy trap. The
problem is that I am not able to read the coefficients. I mean, I know
that the coefficient of the constant is the coefficient of the omitted
variable and that the others must be read as deviation from this.
However, when I tied to do the same omitting a different dummy I could
not obtain the same coefficients, so I think that I am doing something
wrong. Without knowing this I cannot conclude my work.
ARCH family regression -- multiplicative heteroskedasticity
Sample: 3 - 2461 Number of obs = 2459
Distribution: Gaussian Wald chi2(1) = 82.97
Log likelihood = 8929.199 Prob > chi2 = 0.0000
------------------------------------------------------------------------------
| OPG
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
-------------+----------------------------------------------------------------
lreturn |
lreturn |
L1. | .1848528 .0202941 9.11 0.000 .1450771 .2246285
_cons | .000332 .000122 2.72 0.006 .000093 .0005711
-------------+----------------------------------------------------------------
HET |
d_D2 | -1.614848 .4480782 -3.60 0.000 -2.493065 -.7366312
d_D3 | -1.294629 .4497271 -2.88 0.004 -2.176077 -.4131798
_cons | -12.32181 .4604613 -26.76 0.000 -13.2243 -11.41933
-------------+----------------------------------------------------------------
ARCH |
arch |
L1. | .0800911 .0065127 12.30 0.000 .0673264 .0928558
garch |
L1. | .8980415 .0074378 120.74 0.000 .8834637 .9126193
-----------------------------------------------------------------------------
Could you please help me?
Thanks,
Katia
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