조회 수: 27(최근 30일)
Kaloyan Bozhidarov
Kaloyan Bozhidarov 2011년 6월 17일
[EDIT: 20110617 09:06 CDT - reformat - WDR]
I want to evaluate the volatility spill over between bonds, cds and equity using company data.
However, I have a problem with my GARCH BEKK model. I used UCSD toolbox, and followed the following steps for the estimation of the model. Built a ARMA model and obtained the residuals, then demeaned the residuals and run the GARCH BEKK model. Everything is fine so far, but the problem is that I get insignificant results for the coefficients that reflect the volatility spillover.
This is my code:
%ARMA fiting
[parameters, errors, LLF , SEregression, stderrors, robustSE, scores, likelihoods]=armaxfilter(rstock,1,1,1)
%Ljung Box test for serial correlation
[H,pValue,Qstat,CriticalValue] = lbqtest(errors,[5 ,10],0.01)
%ARMA fiting
[parameters, errors, LLF , SEregression, stderrors, robustSE, scores, likelihoods]=armaxfilter(rbond,1,1,1)
%Ljung Box test for serial correlation
[H,pValue,Qstat,CriticalValue] = lbqtest(errors,[5 ,10],0.01)
%ARMA fiting
[parameters, errors, LLF , SEregression, stderrors, robustSE, scores, likelihoods]=armaxfilter(rcds,1,1,1)
%Ljung Box test for serial correlation
[H,pValue,Qstat,CriticalValue] = lbqtest(errors,[5 ,10],0.01)
x=[resbond rescds resstock]
%GARCH BEKK estimation
[parameters, loglikelihood,likelihoods, stdresid, stderrors, A, B, scores] = full_bekk_mvgarch(x,1,1)
%%%%%Test for adequacy
stdresid2=stdresid.^2 %square of the std resid
%Ljunk Box Test
[h,pValue,stat,cValue] = lbqtest(stdresid2,20)
%%%%Extracting std errors from A
Could anybody help me?


Junjun 2012년 7월 27일
Why does this coefficient ought to be significant?
  댓글 수: 1
Javier 2012년 9월 24일
Normally you get the error of the coefficient estimated with the sqrt(diag(hessian(something))). Don not what is A.

댓글을 달려면 로그인하십시오.

Javier 2012년 12월 3일
편집: Javier 2012년 12월 10일
Hello Kaloyan
I just start checking UCSD GARCH toolbox. Once you get the H value for the lbqtest of the square residuals equal to 0, it means that the model is ok (UNIVARIATE). To get the Significance of the parameters I use this formula:
Now you have to test significance in the multivariate sense. There is no function in Matlab or MFE toolbox for that purpose. In this book you can find a multivariate test (New introduction to multiple time series analysis (Luetkepohl 2005) Hope this helps

Javier 2012년 12월 4일
Hello Kaloyan
I just talk with professor Sheppard. There is a new toolbox MFE with the same functionalities. Erase UCSD Toolbox and prove with the new one.
Best regards

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by