.....
6. If there is The Conditional Heteroskedasticity --> Applying Symmetric GARCH Model
Continuously, test The Asymmetric effect of Stock return by Jarque-Bera test
And Test Leverage effect.
--> If there is asymmetric or leverage effect, use Asymmetric-Garch type model
7. Estimate AIC & BIC of Symmetric Garch model or Asymmetric-Garch model
-->Choose the best GARCH model ===> Command: estat ic
8. Forecast future value basing on The Chosen Model (ARMA, ARIMA, GARCH, Asymmetric GARCH)
Estimate the Loss Function Statistic (Mean square error, mean absolute error, root mean square error...)
I have some problems of step 6 & 8
* How can we test the Leverage effect,
* How can we estimate the parameters of Symmetric Garch model và Asymmetric Garch-types model
* The command of future value forecasting (after estimation of the best model ARIMA, GARCH, Asymmetric)
Could you guide me please !
Thank you !
6. If there is The Conditional Heteroskedasticity --> Applying Symmetric GARCH Model
Continuously, test The Asymmetric effect of Stock return by Jarque-Bera test
And Test Leverage effect.
--> If there is asymmetric or leverage effect, use Asymmetric-Garch type model
7. Estimate AIC & BIC of Symmetric Garch model or Asymmetric-Garch model
-->Choose the best GARCH model ===> Command: estat ic
8. Forecast future value basing on The Chosen Model (ARMA, ARIMA, GARCH, Asymmetric GARCH)
Estimate the Loss Function Statistic (Mean square error, mean absolute error, root mean square error...)
I have some problems of step 6 & 8
* How can we test the Leverage effect,
* How can we estimate the parameters of Symmetric Garch model và Asymmetric Garch-types model
* The command of future value forecasting (after estimation of the best model ARIMA, GARCH, Asymmetric)
Could you guide me please !
Thank you !