Hi!
Why does the
>estimated.eqn$asymp.sd
command for deriving unconditional std dev of GARCH residuals returns
1[NA] whenever exogeneous explanatory variables are included in the
conditional variance equation?
eg. command including exogeneous explanatory variables in conditional
variance equation, returning an NA:
>private.egarch<-garch(private~1, x=ytmfin, z=sigma.ytmfin,
+ series.start=2, x.start=2, z.start=2, ~egarch(1,1),leverage=T)
>usd=private.egarch$asymp.sd
>usd
[1]NA
but once you drop z (ie. the exogoneous explanatory variable in
conditional volatility equation), the problem disappears:
>private.egarch.noZ<-garch(private~1, x=ytmfin,
+ series.start=2, x.start=2, ~egarch(1,1),leverage=T)
> usd.noZ = private.egarch.noZ$asymp.sd
> usd.noZ
[1] 0.0374903
I was basically trying to estimate the news impact curve. The above
problem persists with tgarch and pgarch also (...and garch too).
--
Abhijit Sarkar
UGC-SRF (Economics)
Dept. of Humanities and Social Sciences
IIT Bombay
Powai, Mumbai,
Maharashtra, India, 400076
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