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Arch-Garch

Arch-Garch. Lab Nine. Producer Price Index for Finished Goods, 1982 =100, 1947.04 – 2008.04. Identification. Trace Histogram Correlogram Unit root test. Model. PACF: try an ARTHREE. Model Validation. Model of mean, ser = 0.00496 Actual, fitted, residual Correlogram of residuals

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Arch-Garch

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  1. Arch-Garch Lab Nine

  2. Producer Price Index for Finished Goods, 1982 =100, 1947.04 – 2008.04

  3. Identification • Trace • Histogram • Correlogram • Unit root test

  4. Model • PACF: try an ARTHREE

  5. Model Validation • Model of mean, ser = 0.00496 • Actual, fitted, residual • Correlogram of residuals • Histogram of residuals • Serial correlation test

  6. Alternative Model • ARMA(1,1)

  7. Model validation • Model of Mean, ser = 0.00487 • Actual, fitted, residual • Correlogram of residuals • Histogram of residuals • Serial correlation test

  8. Conditional heteroskedasticity? • Trace of ressq • Correlogram of residuals squared • ARCH Lagrange Multiplier test

  9. ARCH/GARCH Model

  10. Model Validation

  11. ARMA(1,1) Model, ARCH(1) GARCH(1)

  12. ARCH-M?

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