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st: Fwd: different mgarch vcc predicted variance results on different pc's
From
Xinjia Liu <[email protected]>
To
[email protected]
Subject
st: Fwd: different mgarch vcc predicted variance results on different pc's
Date
Wed, 23 Oct 2013 17:21:53 -0400
Hi,
I ran the same mgarch vcc command on 2 separate PC's, and got the same
identical log as follows...
. mgarch vcc (ret x_r =), arch(1) garch(1) nolog iter(100) constraint(1/7)
Varying conditional correlation MGARCH model
Sample: 9316 - 9568 Number of obs = 253
Distribution: Gaussian Wald chi2(.) = .
Log likelihood = 1567.101 Prob > chi2 = .
( 1) [ARCH_ret]L.arch = -.0454344
( 2) [ARCH_ret]L.garch = 0
( 3) [ARCH_ret]_cons = .0001649
( 4) [ARCH_x_r]L.arch = .1162334
( 5) [ARCH_x_r]L.garch = .5921709
( 6) [ARCH_x_r]_cons = .0000371
( 7) [corr(ret,x_r)]_cons = .4823299
-------------------------------------------------------------------------------
| Coef. Std. Err. z P>|z| [95% Conf. Interval]
--------------+----------------------------------------------------------------
ret |
_cons | .001041 .0008262 1.26 0.208 -.0005783 .0026604
--------------+----------------------------------------------------------------
ARCH_ret |
arch |
L1. | -.0454344 (constrained)
|
garch |
L1. | 0 (omitted)
|
_cons | .0001649 (constrained)
--------------+----------------------------------------------------------------
x_r |
_cons | .0015137 .0006759 2.24 0.025 .000189 .0028385
--------------+----------------------------------------------------------------
ARCH_x_r |
arch |
L1. | .1162334 (constrained)
|
garch |
L1. | .5921709 (constrained)
|
_cons | .0000371 (constrained)
--------------+----------------------------------------------------------------
corr(ret,x_r)| .4823299 (constrained)
--------------+----------------------------------------------------------------
Adjustment |
lambda1 | .0151112 .0158745 0.95 0.341 -.0160024 .0462247
lambda2 | .9475648 .0370787 25.56 0.000 .8748919 1.020238
-------------------------------------------------------------------------------
When I run the predict variance command...
. predict temp*, variance
On one PC, I got time varying variance and covariance predictions as expected...
. sum temp*
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
temp_ret_ret | 253 .0001578 .0000147 8.88e-06 .0001649
temp_x_r_ret | 253 .0000629 .0000131 .000033 .0001827
temp_x_r_x_r | 253 .000128 .0000637 .0000953 .0007348
On the other PC, the predicted variances and covariance are wrong:
- the variances are equal to 1
- the covariance is time varying but not consistent with the
estimation result above
. sum temp*
Variable | Obs Mean Std. Dev. Min Max
-------------+--------------------------------------------------------
temp_ret_ret | 253 1 0 1 1
temp_x_r_ret | 253 .4514813 .0403912 .3386043 .5350307
temp_x_r_x_r | 253 1 0 1 1
The two computers are identical Dell Optiplex 9010, Windows7 64bit,
with the same version of Stata (MP 13.0). I was able to replicate the
results multiple times.
Does anyone have an idea of what might have caused this?
Thanks,
Xinjia
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