[Date Prev][Date Next][Thread Prev][Thread Next][Date Index][Thread Index]
st: RE: GARCH(1,1), negative values for variance
Broadly, results like that indicate that the model you specified is
straining really hard to fit your data.
Nick
[email protected]
Kamyar Baradaran
I am using the following commands:
arch var1 var2 var3, arch(1) garch(1)
predict var_variance, variance
but in the predicted values, there are some negative numbers. How
could variance be negative?
*
* For searches and help try:
* http://www.stata.com/help.cgi?search
* http://www.stata.com/support/statalist/faq
* http://www.ats.ucla.edu/stat/stata/
