Question on Exponential GARCH model

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New Contributor
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Question on Exponential GARCH model

Hello,

I'm estimating an Exponential GARCH model, however, the EGARCH parameter is too high(0.995) and may not be a global maximum, is there anyway to restrict this parameter and get a different result? I used the restrict statement below and there was no results available for the EGARCH parameter?

proc autoreg data=MyData;

    model Log_Yield = / garch=(p=1,q=1 , type = exp) initial=(1.6 0.01 0.07 0.1 0.01 0.01 5.47) maxiter=1000 converge=0.01 ;

    hetero extravar1 extravar2 / coef=nonneg;

    restrict _Egarch_1<0.99;

  run;

I did more research and realized that type=exp is not valid when Hetero is used. I hard coded the model and got an error message that my none of my observations are valid.

I already tried to specify different initial values and change convergence criteria and change the maximum number of iterations. Nothing seems to be working. Any advice is greatly appreciated!

Thank you!

Iris

Respected Advisor
Posts: 2,655

Re: Question on Exponential GARCH model

I would recommend re-posting this in the Forecasting and Econometrics forum.  It should draw the attention of some folks who know autoreg inside and out.

Steve Denham

New Contributor
Posts: 3

Re: Question on Exponential GARCH model

Posted in reply to SteveDenham

Steve,

Thank you so much for your reply. I found the forum you mentioned and have posted there already!

Thanks,

Iris

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