Dear S-plus users
I am running a GARCH(1,1) model on S-plus version 3.4 for Sun SPARC and
GARCH module. I tried to run garch model on quarterly ROE(return on equity)
of a firm. The number of observation is 80 (20 years*4 quarters per year).
The inputs are (converted using rts)
> PetRoe$V5
1: 0.02396 0.01904 0.02510 0.03949 0.03327 0.04647 0.05763 0.07152
9: 0.05111 0.06074 0.06614 0.06714 0.05407 0.06087 0.05317 0.04835
17: 0.04126 0.04950 0.04996 0.04304 0.03058 0.04266 0.04097 0.02425
25: 0.02623 0.02323 0.02477 0.04254 0.02005 0.02342 0.01829 0.01683
33: 0.01083 0.00263 -0.00053 -0.26746 0.00394 0.00905 0.00982 -0.08220
41: -0.00871 0.01296 0.01399 0.03370 0.00853 0.02242 0.00331 0.02716
49: 0.02287 0.03472 0.04367 0.02043 0.03363 -0.09143 0.03290 0.02171
57: -0.00089 0.02265 0.01218 0.01806 0.01956 0.01856 0.01653 0.01643
65: 0.01941 0.02215 0.02909 0.01429 0.01250 0.01021 0.00481 -0.14832
73: 0.01834 0.02202 0.03508 0.03926 0.02969 0.02626 0.03957 0.02956
start deltat frequency
1 1 1
The outputs are :
> PetRoe$V5.garch_garch(PetRoe$V5~-1, ~garch(1,1))
Iteration 0 Step Size = 1.00000 Likelihood = -1.00000e+10
.....
Iteration 41 Step Size = 1.28000e-05 Likelihood = 131.197
Iteration 41 Step Size = 2.56000e-06 Likelihood = 131.197
Iteration 41 Step Size = 5.12000e-07 Likelihood = 131.197
Iteration 41 Step Size = 1.02400e-07 Likelihood = 131.197
Could not find increasing step size
> summary(PetRoe$V5.garch)
Call: garch(formula.mean = PetRoe$V5 ~ -1, formula.var = ~ garch(1, 1))
Mean Equation: PetRoe$V5 ~ -1
Conditional Variance Equation: ~ garch(1, 1)
Conditional Distribution: gaussian
--------------------------------------------------------------
Estimated Coefficients:
--------------------------------------------------------------
Value Std.Error t value Pr(>|t|)
A 0.0004075 0.0003919 1.040 1.509e-01
ARCH(1) -0.0300954 0.0202477 -1.486 7.063e-02
GARCH(1) 0.8172826 0.1861506 4.390 1.779e-05
--------------------------------------------------------------
AIC(3) = -256.3941
BIC(3) = -249.248
Normality Test:
--------------------------------------------------------------
Jarque-Bera P-value Shapiro-Wilk P-value
1212 0 0.6172 0
Ljung-Box test for standardized residuals:
--------------------------------------------------------------
Statistic P-value Chi^2-d.f.
21.08 0.04928 12
Ljung-Box test for squared standardized residuals:
--------------------------------------------------------------
Statistic P-value Chi^2-d.f.
3.694 0.9883 12
Based on the Result, the garch and arch coefficients look significant. But I
guess that is because there was something wrong on computations of
convergence. Is there any way to fix this problem? I tried to increase
n.iter and changed to stepsize=0, but the results are the same. I need some
help and any suggestions are all welcome.
Thanks a million to read this long message.
Hoon Kim
Graduate School of Industrial Administration
Carnegie Mellon University
E-Mail: hoon@andrew.cmu.edu
URL: www.gsia.cmu.edu/andrew/hoon/www/
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