garchfit significance

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Yoshiko Kawashima
Yoshiko Kawashima 2011-11-16
what is the exact level of t-stat in the garchfit outcome to become significance for 1% and 5%
Parameter Value Error T Statistic
----------- ----------- ------------ -----------
C -0.0013526 0.0013368 -1.0119
K 0.00027647 0.00014944 1.8500
GARCH(1) 0.77871 0.10106 7.7057
ARCH(1) 0.073557 0.028595 2.572

回答(1 个)

Wayne King
Wayne King 2011-11-16
You can evaluate that statistic on the t(N-p) pdf where N is the length of the time series and p is the number of parameters you are estimating. Keep in mind that for even small time series lengths, this N-p number will exceed 30. If you have a t distribution where the number of degrees of freedom exceeds 30, then you can essentially use the N(0,1) distribtuion.
Compare:
1-tcdf(2,30)
ans =
0.0273
1-normcdf(2,0,1)
ans =
0.0228
So for your T statistic of 1.85, take your time series length - the number of parameters you are estimating and set that equal to dof, then do:
2*(1-tcdf(1.85,dof))
that gives you the significance level.
  1 个评论
Wayne King
Wayne King 2011-11-16
but again you're probably safe doing
2*(1-normcdf(1.85,0,1))

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