search for: resid_desn

Hi I have a problem on how to proceed with further steps in my analysis. I did a linear OLS regression (ri,t=alpha*beta*rm,t+et) 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 a's. (resid_desn are the residuals of the ols regression of the company desn) / And now I am stuck. For further analysis I want to estimate new alphas and betas which do incorpo...

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 a's. (resid_desn are the residuals of the ols regression of the company desn) The problem is now that I want to analyse the excess return for a given period. I don't know ho...