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Re: MV-EGARCH with spillovers
Posted: Wed Oct 09, 2013 1:47 pm
by ibrahim
Sorry about that, it is my miscoding,
Thank you so much Tom,
But after defining std residuals, for LB(Q) test I enter the below code
and then I got the below error
## SR10. Missing Values And/Or SMPL Options Leave No Usable Data Points
Re: MV-EGARCH with spillovers
Posted: Wed Oct 09, 2013 2:12 pm
by TomDoan
Works fine for me. Did you put this after the MAXIMIZE instruction?
Re: MV-EGARCH with spillovers
Posted: Wed Oct 09, 2013 3:06 pm
by TomDoan
There's an updated version which includes diagnostics at
http://www.estima.com/forum/viewtopic.php?f=8&t=1940
Re: MV-EGARCH with spillovers
Posted: Wed Oct 09, 2013 3:28 pm
by ibrahim
thank you so much Tom,
Best
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 12:29 pm
by pitsikiou
Dear Tom,
i follow Koutmos code to estimate the spillover among 4 countries but instead of a var - egarch model i have to estimate an ecm multvariate egarch model.
What should i add in this code so as to estimate the ecm-mv-egarch ?
Thank you very much
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 12:58 pm
by TomDoan
The Koutmos paper does a VAR on the differences. The difference between that and a VECM is that the VECM requires an error correction term (or terms, depending upon the number of common trends). For instance, the following would create a single common trend for the four exchange rates:
(You can use any sets of pairs of the exchange rates in this).
set ect1 = 100*log(fra/ger)
set ect2 = 100*log(ger/ita)
set ect3 = 100*log(ita/uki)
equation meaneq *
# constant y(1){1} y(2){1} y(3){1} y(4){1} ect1{1} ect2{1} ect3{1}
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 1:37 pm
by pitsikiou
You mean that i have to also write
set ect1 = 100*log(fra/ger)
set ect2 = 100*log(ger/ita)
set ect3 = 100*log(ita/uki)
set ect4 = 100*log (fra/ita)
set ect5 = 100*log (fra/uki)
set ect6 = 100*log (ger/uki)
in order to have the equation meaneq *
# constant y(1){1} y(2){1} y(3){1} y(4){1} ect1{1} ect2{1} ect3{1} ect4{1} ect5{1} ect6{1}???
I am sorry for the persistent quetions but i am working on my own the mv-ecm- egarch model so as to find the spillovers from each country to the other.
Thank you very much for your time
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 2:49 pm
by TomDoan
pitsikiou wrote:You mean that i have to also write
set ect1 = 100*log(fra/ger)
set ect2 = 100*log(ger/ita)
set ect3 = 100*log(ita/uki)
set ect4 = 100*log (fra/ita)
set ect5 = 100*log (fra/uki)
set ect6 = 100*log (ger/uki)
in order to have the equation meaneq *
# constant y(1){1} y(2){1} y(3){1} y(4){1} ect1{1} ect2{1} ect3{1} ect4{1} ect5{1} ect6{1}???
I am sorry for the persistent quetions but i am working on my own the mv-ecm- egarch model so as to find the spillovers from each country to the other.
Thank you very much for your time
No. Half of those are redundant. If FRA-GER and GER-ITA are stationary then FRA-ITA has to be stationary as well. I was also just giving an example based upon the Koutmos data; if you have a different VECM, you would set it up differently.
Have you tried estimating the VECM without the GARCH errors? That's the place to start.
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 3:05 pm
by pitsikiou
i completed the cointegration and found out that ger-uki: 1 cointegrating vector,ger-fra: 2 cointegrating vectors, ger-ita:2 cointegrationg vectors, fra-ita:2 coint.vect, fra-uki:2 coint. vec, ita-uki:2 coint vec
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 3:54 pm
by TomDoan
pitsikiou wrote:i completed the cointegration and found out that ger-uki: 1 cointegrating vector,ger-fra: 2 cointegrating vectors, ger-ita:2 cointegrationg vectors, fra-ita:2 coint.vect, fra-uki:2 coint. vec, ita-uki:2 coint vec
You're doing a four variable system, so you want to be looking at cointegration of the four variable system, not pairwise.
Also, don't you have theoretical values of the cointegrating vectors?
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 4:19 pm
by pitsikiou
i did the cointegration for the 4 countries and johansen showed 2 cointegrated vectors but Max-eigenvalue test indicated no cointegration.
The ecm model gave me the following results
Code: Select all
Vector Error Correction Estimates
Included observations: 95 after adjustments
Standard errors in ( ) & t-statistics in [ ]
Cointegrating Eq: CointEq1
DEN(-1) 1.000000
ESP(-1) 0.172437
(0.21176)
[ 0.81429]
FRA(-1) -2.786610
(0.50725)
[-5.49357]
GER(-1) 1.524009
(0.42338)
[ 3.59961]
C -2.120413
Error Correction: D(DEN) D(ESP) D(FRA) D(GER)
CointEq1 -0.059121 0.033942 0.179201 -0.096106
(0.05115) (0.10068) (0.08450) (0.08959)
[-1.15573] [ 0.33714] [ 2.12075] [-1.07276]
D(DEN(-1)) 0.311850 -0.026134 -0.016336 -0.025765
(0.16200) (0.31883) (0.26760) (0.28372)
[ 1.92497] [-0.08197] [-0.06104] [-0.09081]
D(DEN(-2)) -0.024185 0.154542 0.087055 0.348286
(0.14035) (0.27622) (0.23184) (0.24580)
[-0.17232] [ 0.55950] [ 0.37550] [ 1.41697]
D(ESP(-1)) 0.020153 0.617986 0.103380 0.317499
(0.08371) (0.16476) (0.13828) (0.14661)
[ 0.24073] [ 3.75090] [ 0.74759] [ 2.16557]
D(ESP(-2)) 0.165803 -0.070239 0.232540 0.116802
(0.08412) (0.16556) (0.13895) (0.14732)
[ 1.97102] [-0.42426] [ 1.67350] [ 0.79283]
D(FRA(-1)) 0.009473 -0.103016 0.257007 0.089151
(0.13044) (0.25672) (0.21547) (0.22844)
[ 0.07263] [-0.40128] [ 1.19278] [ 0.39025]
D(FRA(-2)) -0.055491 -0.151846 -0.196705 -0.035067
(0.11648) (0.22924) (0.19241) (0.20399)
[-0.47640] [-0.66238] [-1.02233] [-0.17190]
D(GER(-1)) 0.159824 0.045931 0.208637 -0.123134
(0.10868) (0.21389) (0.17952) (0.19033)
[ 1.47063] [ 0.21475] [ 1.16220] [-0.64695]
D(GER(-2)) -0.135151 -0.314002 -0.254719 -0.309460
(0.10334) (0.20338) (0.17070) (0.18098)
[-1.30785] [-1.54393] [-1.49220] [-1.70992]
C 0.166465 0.162745 -0.074771 -0.067585
(0.39885) (0.78497) (0.65884) (0.69852)
[ 0.41736] [ 0.20733] [-0.11349] [-0.09676]
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 5:14 pm
by TomDoan
You're planning to do a multivariate GARCH model with only 95 data points? What kind of data do you have?
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 5:40 pm
by pitsikiou
monthly data from 2006/01 - 2014/02 for 4 countries (98 observations for each country)
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 5:44 pm
by TomDoan
I seriously doubt that you're going to get reasonable results from running a complicated GARCH model with so little data. Have you run univariate GARCH models to see if there's even a GARCH effect to model?
Re: MV-EGARCH with spillovers
Posted: Tue May 13, 2014 5:57 pm
by pitsikiou
yes i tested that and found out that garch effect exists in univariate garch for each country