"sound alright except that I wish to ask if the Bo big? Also, i am not sure if you can explain well with the coefficient B1, which portray the log-log relationship...does it work for simple regression without log? if it still works within a tolerable…"
AnalyticBridge
Data Intelligence, Business Analytics
Tom's Discussions
Economic Forces and the stock market
Started Nov 4, 2011
GARCH (1,1)
13 Replies
Started this discussion. Last reply by yasin mahmood Nov 8, 2010.
Tom's Page
Latest Activity
Tom commented on Tom's blog post cannibalization of product
"I need to log it because it makes the interpretation easy...and also because the box-cox transformation indicates that log is the appropriate transformation "
Jeffrey Ng commented on Tom's blog post cannibalization of product
"why do you have to log everything? I am just asking from an end user point of view"
Tom posted a blog post
cannibalization of product
I am trying to determine the rate of cannibalization of product sales for A with product B. I am using ~ 2 years of daily sales data for product A and then ~8 months of data for product B. That is, product B launched 8 month ago. I am using the longer series for A to capture trend effects in the business (natural or industry rate of decline or growth). I also control for seasonality by using a weekday variable (= day of week 1-7) and a week number variable (1-52).If I use the log-log regression…See More
Tom posted a discussion
Economic Forces and the stock market
Dear all, I have a stupid question and I hope that you can explain to me in a simple terminology. I have attached an article and on page 13/22 of the adope file and says the following:The time series of those five factors were then each regressed on the state variables. An economic variable is significantly related to stock movements if and only if it is significantly related to at least one of the five common stock factors. The null hypothesis for each is the restriction across the equations…See More
yasin mahmood replied to Tom's discussion GARCH (1,1)
"Hi Michael,
I am new member and i want to know how i can implement GARCH in my thesis, caan you please tell me the procedure of it? i am working to study the volatality of KSE pakistan, so please guide me how i will prepare data and measure…"
Michael Gutmann replied to Tom's discussion GARCH (1,1)
"Joseph,
Many thanks for the detailed recommendations. I'm following up with the Tsay text and JMulTi.
--Mike"
Joseph Foutz replied to Tom's discussion GARCH (1,1)
"I’ve cited Greene and Tsay already. Arup (below) cites Hamilton, which I used in a time series class. It’s a pain to read. And odd – example, where anyone else on earth would say “matrix form” he says “state space…"
Clifford Ang replied to Tom's discussion GARCH (1,1)
"This may be a late reply, but in case you still need it or if this would be helpful to anyone else here are my thoughts. One thing that I've been doing is, in the SOLVER Options tab, I make sure the "Assume Non-Negative" option is…"
Michael Gutmann replied to Tom's discussion GARCH (1,1)
"Joseph Foutz,
What textbook do you recommend as both introduction to GARCH as well as enough material to make use of GARCH; i.e., understand the theory behind the generation of omega, beta and alpha? Or is it as simple as the econometricians…"
Tom's discussion was featured
GARCH (1,1)
Hello everyone! I am currently doing my thesis and I want to know how can I make an appropiate or "good guess" for GARCH (1,1) parameters (omega, alpha, beta) inorder for the microsoft excel SOLVER function can find the values. I am stuck...anyone got any suggestion. Thank you for your time...........
Tom replied to Tom's discussion GARCH (1,1)
"Thank you very much for you time and your advice. It worked as charme. I got the values and they are very close to the values extracted from EVIEWS. Thank once again.....
Sam"
Haim Shalit replied to Tom's discussion GARCH (1,1)
"Mike
Very impressing analysis. But you need to be sure that you have a martingale series of errors terms, i.e., that you have cleaned up all seasonality factors from the series before you Garch it. I will try your series in eviews to see if the…"
Joseph Foutz replied to Tom's discussion GARCH (1,1)
"There is a very large body of literature on estimating GARCH. Generally you can use the two-step estimator as an approximation, or just do the first step to yield starting values for your iterative optimization. Looking through my bookshelf, I found…"
Arun Kumar Saha replied to Tom's discussion GARCH (1,1)
"I think you should try with Logarithmic return not absolute return"
Tom's discussion was featured
GARCH (1,1)
Hello everyone! I am currently doing my thesis and I want to know how can I make an appropiate or "good guess" for GARCH (1,1) parameters (omega, alpha, beta) inorder for the microsoft excel SOLVER function can find the values. I am stuck...anyone got any suggestion. Thank you for your time...........
Profile Information
- Short Bio:
- MSc International Finance
- Field of Expertise:
- Business Analytics, Predictive Modeling
- Professional Status:
- Manager
- Interests:
- Finding a New Position
Tom's Blog
cannibalization of product
I am trying to determine the rate of cannibalization of product sales for A with product B. I am using ~ 2 years of daily sales data for product A and then ~8 months of data for product B. That is, product B launched 8 month ago. I am using the longer series for A to capture trend effects in the business (natural or industry rate of decline or growth). I also control for seasonality by using a weekday variable (= day of week 1-7) and a week number variable (1-52).
If I use the log-log…
ContinuePosted on January 31, 2013 at 1:31pm — 3 Comments
Comment Wall
- No comments yet!
Top Content
Follow us
Big Data Jobs
© 2013 AnalyticBridge.com is a subsidiary and dedicated channel of Data Science Central LLC
