search for: calenderdate

Hi all ARCH modelling I have a problem now on how to proceed with further steps in my analysis. I did a linear OLS regression with my daily data of stock and index returns. There is now the problem of arch in my error terms. Thus I used the following r command: garch(resid_desn, order=c(0,2)) ## This ARCH(2) process seems to fit the best after trial and error. Consequently, I get there three

...time         : int  1255 1330 1340 1355 1300 1600 1600 1600 1600 1600 ...  $ julian       : int  NA NA NA NA NA 1999186 1999186 1999186 1999186 1999186 ...  $ JulianDate   : int  NA NA NA NA NA 186 186 186 186 186 ...  $ year         : int  1999 1999 1999 1999 1999 1999 1999 1999 1999 1999 ...  $ calenderdate : Factor w/ 106 levels "10/11/2002","10/12/2001",..: 18 20 20 20 22 49 49 49 49 49 ...  $ logSVL       : num  NA NA NA NA NA 1.76 1.77 1.75 1.79 1.77 ...  $ logBM        : num  NA NA NA NA NA 2.26 2.23 2.26 2.28 2.23 ...  $ bc           : num  NA NA NA NA NA ...  $ Rsvl        ...