how to summarize VECH coefficients MVGARCH-BEKK Model

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how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby upani » Sat Jun 06, 2020 1:37 pm

Dear All,

I am trying to replicate Example 5.3 GARCH course material. I want to summarize VECH coeffcients for a bivariate model in the code.
Code: Select all
summarize(title="(1,1) on (1,1)") %beta(10)ˆ2
summarize(title="(1,2) on (1,1)") %beta(10)*%beta(13)*2.0
summarize(title="(2,2) on (1,1)") %beta(13)ˆ2

Would you please guide me how to rewrite the code?

Thanks and Regards,
Upananda
upani
 
Posts: 57
Joined: Wed Jun 25, 2014 3:31 am

Re: how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby TomDoan » Sun Jun 07, 2020 6:47 pm

The 2nd edition has a cleaner implementation of that calculation. We sent you the update.
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Re: how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby upani » Thu Jun 11, 2020 1:19 am

Dear Sir,

Without Estima, my understanding of time series would have been incomplete.

With regards,
UPANANDA
upani
 
Posts: 57
Joined: Wed Jun 25, 2014 3:31 am

Re: how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby upani » Wed Jun 01, 2022 5:49 am

Dear Sir,

I am trying run a multi variate garch model between mcx comex silver spot price. I got the following result. Would you please guide me on the following results?

    Statistics on Series RMCX
    Observations 16
    Sample Mean 0.217507 Variance 5.936588
    Standard Error 2.436511 SE of Sample Mean 0.609128
    t-Statistic (Mean=0) 0.357079 Signif Level (Mean=0) 0.726007
    Skewness -0.645381 Signif Level (Sk=0) 0.339815
    Kurtosis (excess) 0.170232 Signif Level (Ku=0) 0.912341
    Jarque-Bera 1.130029 Signif Level (JB=0) 0.568352


    Statistics on Series RMCX
    Observations 16
    Sample Mean 0.217507 Variance 5.936588
    Standard Error 2.436511 SE of Sample Mean 0.609128
    t-Statistic (Mean=0) 0.357079 Signif Level (Mean=0) 0.726007
    Skewness -0.645381 Signif Level (Sk=0) 0.339815
    Kurtosis (excess) 0.170232 Signif Level (Ku=0) 0.912341
    Jarque-Bera 1.130029 Signif Level (JB=0) 0.568352


    MV-GARCH, BEKK - Estimation by BFGS
    NO CONVERGENCE IN 58 ITERATIONS. FINAL NORMED GRADIENT 2.33786e+06
    ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT
    TRY DIFFERENT SETTING FOR EXACTLINE, DERIVES OR ALPHA ON NLPAR
    RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES/PMETHOD OPTION MIGHT ALSO WORK

    With Heteroscedasticity/Misspecification Adjusted Standard Errors
    Usable Observations 15
    Log Likelihood -37.3176

    Variable Coeff Std Error T-Stat Signif
    ************************************************************************************
    Mean Model(RMCX)
    1. RMCX{1} 0.858222426 0.070784712 12.12440 0.00000000
    2. RCOMEX{1} -0.546144483 0.108587684 -5.02953 0.00000049
    3. RSPOT{1} -0.221792786 0.043358342 -5.11534 0.00000031
    4. Constant 0.501012906 0.140715982 3.56045 0.00037021
    Mean Model(RCOMEX)
    5. RMCX{1} 1.571676715 0.185533891 8.47110 0.00000000
    6. RCOMEX{1} -0.903687810 0.109837104 -8.22753 0.00000000
    7. RSPOT{1} -0.516110275 0.081595947 -6.32519 0.00000000
    8. Constant 0.896708868 0.302989426 2.95954 0.00308100
    Mean Model(RSPOT)
    9. RMCX{1} 0.093766318 0.029989886 3.12660 0.00176842
    10. RCOMEX{1} 0.388176986 0.068001932 5.70832 0.00000001
    11. RSPOT{1} -0.540921536 0.027991856 -19.32425 0.00000000
    12. Constant 0.773244827 0.225869639 3.42341 0.00061840

    13. C(1,1) 1.016219634 0.433493288 2.34426 0.01906503
    14. C(2,1) 2.273504603 0.628325075 3.61836 0.00029648
    15. C(2,2) -0.005618038 0.758550040 -0.00741 0.99409069
    16. C(3,1) 1.714770376 0.274004616 6.25818 0.00000000
    17. C(3,2) -0.008775959 1.197373404 -0.00733 0.99415208
    18. C(3,3) 0.000009540 0.004929692 0.00194 0.99845585
    19. A(1,1) 0.189830482 0.044537655 4.26225 0.00002024
    20. A(1,2) 0.729047376 0.225053599 3.23944 0.00119765
    21. A(1,3) -1.042341373 0.154143384 -6.76215 0.00000000
    22. A(2,1) 0.410824364 0.035538314 11.56004 0.00000000
    23. A(2,2) 0.333231498 0.039568468 8.42164 0.00000000
    24. A(2,3) 0.127290760 0.175225628 0.72644 0.46756958
    25. A(3,1) 0.527180417 0.168923290 3.12083 0.00180344
    26. A(3,2) 0.475946332 0.090445342 5.26225 0.00000014
    27. A(3,3) 1.272522864 0.150569845 8.45138 0.00000000
    28. B(1,1) -0.123866312 0.103609666 -1.19551 0.23188813
    29. B(1,2) -0.127237004 0.020081686 -6.33597 0.00000000
    30. B(1,3) 0.026886142 0.192570985 0.13962 0.88896278
    31. B(2,1) 0.182596022 0.020155541 9.05935 0.00000000
    32. B(2,2) 0.342087264 0.067492415 5.06853 0.00000040
    33. B(2,3) 0.203623943 0.162363584 1.25412 0.20979722
    34. B(3,1) -0.076985838 0.125707871 -0.61242 0.54026084
    35. B(3,2) -0.027213726 0.153773516 -0.17697 0.85952978
    36. B(3,3) 0.098151556 0.016472284 5.95859 0.00000000


    Test of Exogeneity in Mean of All Variables
    Chi-Squared(6)= 17257.778869 or F(6,*)= 2876.29648 with Significance Level 0.00000000


    Test of Exogeneity in Mean of MCX Future
    Chi-Squared(2)= 456.068940 or F(2,*)= 228.03447 with Significance Level 0.00000000


    Test of Exogeneity in Mean of COMEX Future
    Chi-Squared(2)= 88.924967 or F(2,*)= 44.46248 with Significance Level 0.00000000


    Test of Exogeneity in Mean of LBMA Spot
    Chi-Squared(2)= 46.429722 or F(2,*)= 23.21486 with Significance Level 0.00000000


    Wald Test of Diagonal BEKK
    Chi-Squared(12)=38044524.987879 or F(12,*)=3170377.08232 with Significance Level 0.00000000


    Block Exclusion Test, MCX Future variance
    Chi-Squared(4)= 579.785035 or F(4,*)= 144.94626 with Significance Level 0.00000000


    Block Exclusion Test, COMEX Future Variance
    Chi-Squared(4)= 47216.009134 or F(4,*)= 11804.00228 with Significance Level 0.00000000


    Block Exclusion Test, LBMA spot Variance
    Chi-Squared(4)= 8522.905524 or F(4,*)= 2130.72638 with Significance Level 0.00000000


    MV-GARCH, BEKK - Estimation by BFGS
    NO CONVERGENCE IN 58 ITERATIONS. FINAL NORMED GRADIENT 2.33786e+06
    ESTIMATION POSSIBLY HAS STALLED OR MACHINE ROUNDOFF IS MAKING FURTHER PROGRESS DIFFICULT
    TRY DIFFERENT SETTING FOR EXACTLINE, DERIVES OR ALPHA ON NLPAR
    RESTARTING ESTIMATION FROM LAST ESTIMATES OR DIFFERENT INITIAL GUESSES/PMETHOD OPTION MIGHT ALSO WORK

    With Heteroscedasticity/Misspecification Adjusted Standard Errors
    Usable Observations 15
    Log Likelihood -37.3176

    Variable Coeff Std Error T-Stat Signif
    ************************************************************************************
    Mean Model(RMCX)
    1. RMCX{1} 0.858222426 0.070784712 12.12440 0.00000000
    2. RCOMEX{1} -0.546144483 0.108587684 -5.02953 0.00000049
    3. RSPOT{1} -0.221792786 0.043358342 -5.11534 0.00000031
    4. Constant 0.501012906 0.140715982 3.56045 0.00037021
    Mean Model(RCOMEX)
    5. RMCX{1} 1.571676715 0.185533891 8.47110 0.00000000
    6. RCOMEX{1} -0.903687810 0.109837104 -8.22753 0.00000000
    7. RSPOT{1} -0.516110275 0.081595947 -6.32519 0.00000000
    8. Constant 0.896708868 0.302989426 2.95954 0.00308100
    Mean Model(RSPOT)
    9. RMCX{1} 0.093766318 0.029989886 3.12660 0.00176842
    10. RCOMEX{1} 0.388176986 0.068001932 5.70832 0.00000001
    11. RSPOT{1} -0.540921536 0.027991856 -19.32425 0.00000000
    12. Constant 0.773244827 0.225869639 3.42341 0.00061840

    13. C(1,1) 1.016219634 0.433493288 2.34426 0.01906503
    14. C(2,1) 2.273504603 0.628325075 3.61836 0.00029648
    15. C(2,2) -0.005618038 0.758550040 -0.00741 0.99409069
    16. C(3,1) 1.714770376 0.274004616 6.25818 0.00000000
    17. C(3,2) -0.008775959 1.197373404 -0.00733 0.99415208
    18. C(3,3) 0.000009540 0.004929692 0.00194 0.99845585
    19. A(1,1) 0.189830482 0.044537655 4.26225 0.00002024
    20. A(1,2) 0.729047376 0.225053599 3.23944 0.00119765
    21. A(1,3) -1.042341373 0.154143384 -6.76215 0.00000000
    22. A(2,1) 0.410824364 0.035538314 11.56004 0.00000000
    23. A(2,2) 0.333231498 0.039568468 8.42164 0.00000000
    24. A(2,3) 0.127290760 0.175225628 0.72644 0.46756958
    25. A(3,1) 0.527180417 0.168923290 3.12083 0.00180344
    26. A(3,2) 0.475946332 0.090445342 5.26225 0.00000014
    27. A(3,3) 1.272522864 0.150569845 8.45138 0.00000000
    28. B(1,1) -0.123866312 0.103609666 -1.19551 0.23188813
    29. B(1,2) -0.127237004 0.020081686 -6.33597 0.00000000
    30. B(1,3) 0.026886142 0.192570985 0.13962 0.88896278
    31. B(2,1) 0.182596022 0.020155541 9.05935 0.00000000
    32. B(2,2) 0.342087264 0.067492415 5.06853 0.00000040
    33. B(2,3) 0.203623943 0.162363584 1.25412 0.20979722
    34. B(3,1) -0.076985838 0.125707871 -0.61242 0.54026084
    35. B(3,2) -0.027213726 0.153773516 -0.17697 0.85952978
    36. B(3,3) 0.098151556 0.016472284 5.95859 0.00000000

    0.036 0.156 0.169 0.200 0.433 0.278
    0.138 0.363 0.137 0.475 0.371 0.251
    0.532 0.486 0.111 0.694 0.317 0.227
    -0.198 -0.404 0.052 -0.308 0.590 0.671
    -0.760 -0.255 0.042 0.432 0.485 0.606
    1.086 -0.265 0.016 -2.653 0.324 1.619

    ( 1.403,-0.000) ( 0.655,-1.110) ( 0.655, 1.110) (-0.181, 0.117) (-0.181,-0.117) ( 0.045, 0.000)

    Multivariate Q Test
    Test Run Over 2007 to 2021
    Lags Tested 10
    Degrees of Freedom 90
    Q Statistic 90.10308
    Signif Level 0.47712

    ## MAT14. Non-invertible Matrix. Using Generalized Inverse for SYMMETRIC.
    The Error Occurred At Location 651, Line 59 of MVARCHTEST
    C:\Users\Public\Documents\Estima\WinRATS Pro 10.0\mvarchtest.src Line 87

    Summary of Function of Coefficients

    Value 0.01534286 t-Statistic 0.59775
    Standard Error 0.02566749 Signif Level 0.5500037


    Summary of Function of Coefficients

    Value -0.0452350 t-Statistic -1.06924
    Standard Error 0.0423059 Signif Level 0.2849637


    Summary of Function of Coefficients

    Value 0.03334131 t-Statistic 4.52967
    Standard Error 0.00736064 Signif Level 0.0000059


    Summary of Function of Coefficients

    Value 0.01534286 t-Statistic 0.59775
    Standard Error 0.02566749 Signif Level 0.5500037


    Summary of Function of Coefficients

    Value -0.0452350 t-Statistic -1.06924
    Standard Error 0.0423059 Signif Level 0.2849637


    Summary of Function of Coefficients

    Value 0.03334131 t-Statistic 4.52967
    Standard Error 0.00736064 Signif Level 0.0000059


    1,1 2,1 2,2 3,1 3,2 3,3
    1,1 0.0153 -0.0452 0.0333 0.0191 -0.0281 0.0059
    ( 0.0257) ( 0.0423) ( 0.0074) ( 0.0471) ( 0.0487) ( 0.0194)
    2,1 0.0158 -0.0656 0.0625 0.0132 -0.0313 0.0021
    ( 0.0157) ( 0.0332) ( 0.0076) ( 0.0394) ( 0.0664) ( 0.0153)
    2,2 0.0162 -0.0871 0.1170 0.0069 -0.0186 0.0007
    ( 0.0051) ( 0.0041) ( 0.0462) ( 0.0402) ( 0.1016) ( 0.0084)
    3,1 -0.0033 -0.0203 0.0372 -0.0142 0.0022 -0.0076
    ( 0.0266) ( 0.0347) ( 0.0260) ( 0.0304) ( 0.0089) ( 0.0136)
    3,2 -0.0034 -0.0167 0.0697 -0.0132 0.0280 -0.0027
    ( 0.0250) ( 0.0806) ( 0.0692) ( 0.0134) ( 0.0280) ( 0.0155)
    3,3 0.0007 0.0109 0.0415 0.0053 0.0400 0.0096
    ( 0.0104) ( 0.0697) ( 0.0661) ( 0.0387) ( 0.0252) ( 0.0032)

I am having doubt on convergence issues and is there any method i can try over here.

Looking forward to your reply on the same

With sincere regards,
Upananda Pani
upani
 
Posts: 57
Joined: Wed Jun 25, 2014 3:31 am

Re: how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby TomDoan » Wed Jun 01, 2022 7:54 am

You are showing only 16 observations. There's something wrong with your data or how you are getting your data in.
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Re: how to summarize VECH coefficients MVGARCH-BEKK Model

Unread postby upani » Wed Jun 01, 2022 11:29 pm

Dear Sir,

Thank you very much for your reply. I have attached the data set for your reference.

With sincere regards,
Upananda Pani
Attachments
silvermcx.xlsx
(43.48 KiB) Downloaded 47 times
upani
 
Posts: 57
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