Hello all.
I am new to RATS and looking for a little help interpruting a EGARCH model and testing a couple of the parameters. I searched and searched examples and the site before posting.
I am running a simple AR(1) EGARCH(1,1) and first need to be sure I am interpruting the results correctly.
Variable Coeff Std Error T-Stat Signif
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1. Constant -0.000023254 0.000000864 -26.91963 0.00000000
2. DLY{1} -0.000077252 0.000003992 -19.35071 0.00000000
3. C -0.070778323 0.018193786 -3.89025 0.00010014
4. A 0.073528643 0.013657784 5.38364 0.00000007
5. B 0.997941933 0.001524143 654.75603 0.00000000
6. D -0.052241484 0.010879617 -4.80178 0.00000157
7. Shape 1.480263249 0.050863790 29.10250 0.00000000
#1,2 are from the mean equation. #3 is the variance constant, #4 is the negative shock coefficient, #5 is the persistance and #6 is the positive shock coefficient.
Finally I would like to formally test for assymetry a + d = 0 but want to be sure I've got the right test.
My best guess is:
test
#4 6
#1 -1 0
But I want to be sure of two things:
1. This is the correct test
2. This test is efficient in GARCH
Thank you for your help.
J
EGARCH Parameters and Tests
Re: EGARCH Parameters and Tests
The test for asymmetry will just be d=0. The "b" coefficient is on the (standardized) absolute value.