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Saving GARCH model parameter estimates
Posted: Sat Feb 15, 2025 9:47 am
by tx_ecnmst
I am trying to estimate a bivariate GARCH-M but cannot get convergence for my model. I would like to try using the genetic algorithm (or similar) to get initial parameter estimates and then use BFGS to obtain final estimates. How do I save the estimated parameters from step one and how do I put those into a form that can be used with the 'INITIAL =' option in GARCH? I tried using the 'vechmat=' option but it is not available for GENETIC algorithm. Thank you.
Re: Saving GARCH model parameter estimates
Posted: Sat Feb 15, 2025 12:44 pm
by TomDoan
INITIAL=%BETA will do that, but you should really just use GENETIC as your PMETHOD, rather than doing first SIMPLEX then GENETIC. (GENETIC does a broad search on its own, so doing simplex first doesn't really help much). It appears to still have convergence issues. Have you tried doing a simpler model like CC (at least to start).
Re: Saving GARCH model parameter estimates
Posted: Sun Feb 16, 2025 10:40 am
by tx_ecnmst
Thank you, Tom.
Re: Saving GARCH model parameter estimates
Posted: Thu Mar 06, 2025 8:05 am
by tx_ecnmst
Hi Tom,
I am attempting to estimate the impact of the risk premium on nominal interest rates in a bivariate VECM-GARCH-M (code and data attached).The empirical model as set up relates the two endogenous variables to the covariance of nominal rates and inflation (HHS(1,2)) but the theory says that the risk premium is the covariance between the real rate and inflation. But there is simple linear relationship (unless my math is off) such that COV(r,pi) = COV(i,pi)-VAR(pi), where i is nominal, r real and pi = inflation. So I need to modify the current model specification to have the mean model depend not on the HHS parameters, but a linear combination of them, so that each VAR equation will have something like HHS(2,1)-HHS(1,1) as an independent variable.
Thanks,
Bill
Re: Saving GARCH model parameter estimates
Posted: Thu Mar 06, 2025 7:06 pm
by TomDoan
Use the HADJUST option to create the series you need as part of the GARCH instruction:
https://estima.com/webhelp/topics/garch ... model.html
Re: Saving GARCH model parameter estimates
Posted: Sat Mar 08, 2025 1:15 pm
by tx_ecnmst
Thanks, Tom. That worked great.
Code: Select all
set covr = 0.0
dec symm[series] hhs(2,2)
clear(zeros) hhs
equation(REGRESSORS) infeq dpi 13
# d3{1 to 13} realr3{1} hhs(1,1) covr
equation(REGRESSORS) nomeq d3 13
# dpi{1 to 13} realr3{1} hhs(1,1) covr
group garchm infeq nomeq
nlpar(exactline,derive=fourth,mutate=best,alpha=0.5)
garch(model=garchm,p=1,q=1,method=bfgs,pmethod=simplex,piters=500,$
mvhseries=hhs,rvectors=rd,hmatrices=hh,stdresids=rstd,$
factorby=eigen,iters=1000,subiters=1000,derives=dd,$
hadjust=(covr=(hhs(2,1)-hhs(1,1))),mv=cc)