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Econometrie Avansata

Dr. Adrian Codirlasu, CFA Dr. Bogdan Moinescu

I. Serii de timp

Definitie

O secventa de valori inregistrate de o variabila aleatoare specifica intr-o anumita perioada de timp

Caracteristici
Frecventa Populatie vs. esantion Momente Stationaritate Sezonalitate

Frecventa

Reprezinta periodicitatea cu care este observat variabila. Functie de specificul seriei de timp, frecventa poate fi zilnica (cum este cazul preturilor activelor financiare cursurile actiunilor, ratele de dobanda, cursul de schimb), lunara (de exemplu, rata inflatiei, salariul mediu pe economie, rata somajului), trimestriala (cum este produsul intern brut) sau anuala

Momentele seriei de timp


Media Varianta Coeficientul de asimetrie (skewness) Kurtosis

Stationaritate

Conditiile ce trebuie indeplinite pentru ca o serie de timp s fie stationara sunt:


media

seriei de timp sa fie constanta sau cu alte cuvinte, observatiile trebuie sa fluctueze in jurul mediei. varianta seriei s fie constanta.

Din punct de vedere economic, o serie este stationara daca un soc asupra seriei este temporar (se absoarbe in timp) si nu permanent.

Stationaritate
In cazul in care seria nu este stationara, prin diferentiere, se obtine o serie stationara. Ordinul de integrare al seriei reprezinta numarul de diferentieri succesive necesare pentru obtinerea unei serii stationare (sau numarul de radacini unitare al seriei).

Sezonalitate
Seriile de timp cu frecventa lunara sau trimestriala prezinta adesea evoluaii care au o anumita ciclicitate. De exemplu activitatea economica se incetineste in lunile de iarna, preturile cresc mai mult n lunile reci decat in perioada de vara etc. In analiza econometrica, pentru a elimina aceste evolutii sezoniere seriile de timp sunt ajustate sezonier.

II. Teste statistice

II.1. Distributii

Distributia de probabilitate

Este reprezentarea tuturor valorilor pe care le poate lua o variabil aleatore si a probabilitii de apariie a acestor valori Variabile aleatoare
Discrete Continue

Distributii
Normala Lognormala t Chi patrat F

Distributia normala

Distributia log-normala

Distributia t

Distributia Chi-patrat

Distributia F

II.2. Testarea ipotezelor

Testarea ipotezelor

Definirea ipotezei; Identificarea testului statistic ce va fi utilizat i a distribuiei de probabilitate a acestuia; Specificarea nivelului de relevan al testului; Specificarea regulii de decizie; Colectarea datelor i estimarea parametrului; Luarea deciziei statistice; Luarea deciziei economice.

Definirea ipotezei

Specificarea ipotezei nule i a ipotezei alternative Ipoteza nul, notat cu , reprezint ipoteza ce este testat, iar ipoteza alternativ, notat cu , este ipoteza acceptat n cazul n care ipoteza nul este respins

Testarea mediei

Esantion mare (n > 30)

Esantion mic (n < 30)

Populatia are o distributie normala

Testul t sau testul z

Testul t

Populatia nu are o distributie normala

Testul t sau testul z

Nu se poate testa

Testarea variantei
cu n 1 grade de libertate

varianta esantionului de date utilizat

III. Analiza seriilor de timp in EViews

Crearea unui fisier de lucru

Definirea seriilor

Introducerea datelor

Prelucrea seriilor

Stationaritatea seriilor de timp

Teste statistice
Augmented

Dickey-Fuller (ADF) Phillips-Perron

Testarea stationaritatii seriei

Interpretarea rezultatului statistic


Null Hypothesis: L_EUR has a unit root Exogenous: Constant, Linear Trend Lag Length: 3 (Automatic based on SIC, MAXLAG=25)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

-0.981155 -3.962327 -3.411905 -3.127850

0.9448

Analiza distributiei seriei

Serie normal distribuita


Coeficientul de asimetrie (skewness) este zero distributia normala este simetrica. Kurtotica (kurtosis) este 3. Dac acest indicator are o valoare mai mare dect 3, atunci distributia se numete leptokurtotica, iar daca acesta este mai mic dect 3 atunci distributia se numeste platikurtotica.

Distributie EURRON
Theoretical Quantile-Quantile 12 8
Normal Quantile

Kernel Density (Epanechnikov, h = 0.0018) 100

80

4 0

60

40
-4

20
-8 -12 -.08

0
-.04 .00 DL_EUR .04 .08

-.04

-.02

.00

.02

.04

.06

DL_EUR

Functia de autocorelatie

Functia de autocorelatie

Trendul seriilor de timp

Filtrul Hodrick-Prescott

Ajustarea sezoniera a seriilor de timp

Investigarea sezonalitatii

Proceduri de desezonalizare
Census X12 Census X11 Tramo/Seats

Proceduri de desezonalizare

Serie desezonalizata

IV. Regresia liniara multipla

Utilizare

Cu ajutorul regresiei liniare multiple, se poate determina impactul pe care il au mai multe variabile independente asupra unei anumite variabile (numita variabila dependenta)

Ecuatia de regresie

Determinarea elasticitatilor
Daca variabila dependenta si variabilele independente sunt specificate in logaritmi naturali, atunci coeficientii variabilelor independente pot fi interpretati ca elasticitati Astfel, acesti coeficienti vor arata cu cat la suta se modifica variabila dependenta daca variabila independenta se modifica cu 1 la suta

Ipotezele regresiei liniare


Legtura dintre variabila dependent i variabilele independente este liniar Variabilele independente sunt aleatoare. Intre variabilele independente incluse intro regresie nu exista nici o relatie liniara. Valoarea ateptat a termenului de eroare este 0

Ipotezele regresiei liniare


Varianta termenului de eroare este aceeasi pentru toate observaiile (erori homoskedastice). Termenul de eroare este necorelat intre observatii. Termenul de eroare este normal distribuit.

Impactul incalcarii ipotezelor


Heteroskedasticitate Erorile standard ale regresiei sunt incorecte

Corelaie serial a erorilor

Erorile standard ale regresiei sunt incorecte

Multicoliniaritate

Valori mari ale lui R-patrat si valori mici ale valorilor t-statistic ale coeficientilor variabilelor independente

Teste statitistice pentru regresia liniara


R-patrat R-patrat ajustat (cu numarul de variabile independente incluse in regresie) Criterii informationale Durbin-Watson

Teste statitistice pentru regresia liniara

Teste pentru coeficientii obtinuti din ecuatia de regresie


Testul

t pentru testarea individuala a coeficietilor Testul F pentru testarea tuturor coeficientilor Testul Wald

Teste statitistice pentru regresia liniara

Teste pentru erorile ecuatiei de regresie


Corlograma

erorilor Corelograma erorilor patratice Testarea distributiei erorilor (testul JarqueBerra)

Regresii cu variabile calitative

Variabile dummy
Acestea

iau valoarea 1 dac o anumita conditie este adevarata si valoarea 0 in caz contrar Numarul de variabile dummy este cu 1 mai mic decat numarul de conditii, in caz contrat existand multicoliniaritate Variabilele dummy pot fi utilizate si pentru captarea impactului sezonier asupra variabilei independente, introducand cel mult 11 variabile dummy pentru datele cu frecven lunara sau cel mult 3 variabile dummy pentru datele cu frecventa trimestriala, in cazul in care datele nu au fost ajustate sezonier in prealabil

IV.4. Regresii cu serii de timp in Eviews

Estimarea functiei de reactie


Perioada analizata trim. I 1999 trim. I 2011 Serii de date utilizate:


rata de politic monetar a BCE; infl_eu inflaiei, msurat prin indicele armonizat al preurilor, in Uniunea Monetar; gap_eu output-gap-ul, calculat pe baza unui filtru Hodrick-Prescott pentru zona euro; dummy variabil dummy pentru perioada de criza financiara (ia valoarea 1 incepand cu trim. I 2009)
r_eu

Parametrii regresiei

Ecuatia estimata

Indicatori ai regresiei
t-Statistic si probabilitatea asociata, calculat pentru constanta si coeficientul fiecarei variabile independente R-Squared, Adjusted R-Squared F-Statistic si probabilitatea asociata Criteriile informationale (Akaike info criterion, Schwarz criterion, Hannan-Quinn criter.) Durbin-Watson stat

Variabila dependenta evectiva vs estimata


.05 .04 .03 .02 .01 .015 .010 .005 .000 -.005 -.010 -.015 99 00 01 02 03 Residual 04 05 Actual 06 07 08 09 10 11 .00

Fitted

Teste asupra termenilor de eroare


Corelograma erorilor Corelograma erorilor patratice Testarea tipului de distributie a erorilor Serial Correlation LM Test ARCH LM Test White Heteroskedasticity Test

Selectare teste termeni de eroare

Corelograma erorilor

Corelograma erorilor patratice

Testarea distributiei normale a erorilor regresiei


12 10

Series: Residuals Sample 1999Q1 2011Q1 Observations 49 Mean Median Maximum Minimum Std. Dev. Skewness Kurtosis Jarque-Bera Probability
-0.010 -0.005 0.000 0.005 0.010 0.015

-6.09e-18 -0.000688 0.013773 -0.010947 0.005747 0.694016 2.892419 3.957170 0.138265

Testarea corelatiei seriale

Testarea termenilor ARCH

Teste de stabilitate

CUSUM Test CUSUM of Squares Test Recursive Coeficients

Teste de stabilitate

CUSUM Test
10 5 0 -5 -10 -15 -20 -25 II III 2009 CUSUM IV I II 2010 5% Significance III IV I 2011

CUSUM of Squares Test


1.6 1.2

0.8

0.4

0.0

-0.4 II III 2009 CUSUM of Squares IV I II 2010 5% Significance III IV I 2011

Recursive coeficients
.034 .033 .032 .031 -.2 .030 .029 .028 .027 II III 2009 IV I II 2010 Recursive C(1) Estimates 2 S.E. III IV I 2011 -.4 -.6 -.8 II III 2009 IV I II 2010 Recursive C(2) Estimates 2 S.E. III IV I 2011 .4 .2 .0

.8

.010 .005 .000

.7

.6 -.005 .5 -.010 .4 -.015 -.020 II III 2009 IV I II 2010 Recursive C(3) Estimates 2 S.E. III IV I 2011 II III 2009 IV I II 2010 Recursive C(4) Estimates 2 S.E. III IV I 2011

.3

V. Modele ARMA

Modele ARMA
Modele autoregresive (AR); Modele cu medii mobile (MA); Modele ARMA care combina cele dou tipuri de procese.

Estimare modele ARMA


1. Testarea stationaritatii seriei 2. Stationarizarea seriei 3. Pe baza coeficienilor de autocorelaie (funciei de autocorelaie) i a coeficienilor de corelaie parial (funciei de autocorelaie parial) se determin modelele autoregresive de start pentru analiza seriei de date.

Estimare modele ARMA


4. Se estimeaza parametri modelelor ARMA. 5. Se testeaza caracteristicile modelelor autoregresive ce au fost estimate n etapa anterioara. 6. Se alege cel mai potrivit model folosind diverse criterii de analiza. 7. Pe baza modelului selectat se fac diverse analize si prognoze

V.4. Estimarea modelelor ARMA in Eviews

Seria de date
250 200

150

100

50

0 97 98 99 00 01 02 03 04 05 06 07

BUBOR

Testul de stationaritate ADF


Null Hypothesis: BUBOR has a unit root Exogenous: Constant, Linear Trend Lag Length: 0 (Automatic based on SIC, MAXLAG=12)

t-Statistic

Prob.*

Augmented Dickey-Fuller test statistic Test critical values: 1% level 5% level 10% level

-5.024900 -4.031899 -3.445590 -3.147710

0.0003

*MacKinnon (1996) one-sided p-values.

Testul de stationaritate PhilipsPerron


Null Hypothesis: BUBOR has a unit root Exogenous: Constant, Linear Trend Bandwidth: 3 (Newey-West using Bartlett kernel) Adj. t-Stat Prob.*

Phillips-Perron test statistic Test critical values: 1% level 5% level 10% level

-5.437216 -4.031899 -3.445590 -3.147710

0.0001

*MacKinnon (1996) one-sided p-values.

Residual variance (no correction) HAC corrected variance (Bartlett kernel)

364.8682 462.5140

Functia de autocorelatie

Specificare ecuatie

Estimare model MA(4)


Dependent Variable: BUBOR Method: Least Squares Sample (adjusted): 1997M01 2007M08 Included observations: 128 after adjustments Convergence achieved after 15 iterations Backcast: 1996M09 1996M12

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C MA(1) MA(2) MA(3) MA(4)

41.54023 0.734234 0.495279 0.863535 0.804961

5.901126 0.051566 0.026993 0.025672 0.050194

7.039374 14.23862 18.34853 33.63763 16.03709

0.0000 0.0000 0.0000 0.0000 0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

0.838087 0.832822 17.24715 36588.11 -543.5728 1.582016

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

43.94414 42.18206 8.571450 8.682858 159.1672 0.000000

Inverted MA Roots

.42-.90i

.42+.90i

-.78+.45i

-.78-.45i

Analiza radacini ecuatie

Radacinile polinomului caracteristic


Inverse Roots of AR/MA Polynomial(s) 1.5 1.0 0.5
MA Root(s) Modulus Cycle Inverse Roots of AR/MA Polynomial(s) Specification: BUBOR C MA(1) MA(2) MA(3) MA(4) Sample: 1997M01 2007M12 Included observations: 128

0.0
0.416806 0.900818i -0.783923 0.450021i 0.992572 0.903910 5.524002 2.397739

-0.5 -1.0 -1.5 -1.5


No root lies outside the unit circle. ARMA model is invertible.

-1.0

-0.5

0.0

0.5

1.0

1.5

MA roots

Corelograma erorilor

Valoarea efectiva vs estimata


250 200 150 100 80 40 0 -40 -80 97 98 99 00 01 02 03 04 05 06 07 50 0

Residual

Actual

Fitted

Estimare model AR(1)


Dependent Variable: BUBOR Method: Least Squares Sample (adjusted): 1997M02 2007M08 Included observations: 127 after adjustments

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C BUBOR(-1)

4.985180 0.878633

2.639138 0.043240

1.888943 20.32007

0.0612 0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

0.767617 0.765758 20.49047 52482.45 -562.7322 1.709848

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

43.85480 42.33696 8.893420 8.938210 412.9052 0.000000

Corelograma erorilor

Valoarea efectiva vs estimata


250 200 150 100 150 100 50 0 -50 -100 97 98 99 00 01 02 03 04 05 06 07 50 0

Residual

Actual

Fitted

Estimare model ARMA(1,10)


Dependent Variable: BUBOR Method: Least Squares Sample (adjusted): 1997M02 2007M08 Included observations: 127 after adjustments Convergence achieved after 21 iterations Backcast: 1996M04 1997M01

Variable

Coefficient

Std. Error

t-Statistic

Prob.

BUBOR(-1) MA(5) MA(6) MA(7) MA(10)

0.974210 -0.243541 -0.226437 -0.332302 0.476373

0.017718 0.056540 0.055472 0.055472 0.060775

54.98466 -4.307386 -4.081987 -5.990446 7.838351

0.0000 0.0000 0.0001 0.0000 0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood

0.867500 0.863156 15.66150 29924.46 -527.0577

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

43.85480 42.33696 8.378862 8.490837 2.297258

Inverted MA Roots

.88+.16i -.02-.90i -.89+.33i

.88-.16i -.02+.90i -.89-.33i

.56+.83i -.53+.73i

.56-.83i -.53-.73i

Conditia de stabilitate
Inverse Roots of AR/MA Polynomial(s) 1.5 1.0 0.5
MA Root(s) Modulus Cycle Inverse Roots of AR/MA Polynomial(s) Specification: BUBOR BUBOR(-1) MA(5) MA(6) MA(7) MA(10) Sample: 1997M01 2007M12 Included observations: 127

0.0 -0.5 -1.0 -1.5 -1.5


0.558806 -0.890402 -0.528267 -0.022438 0.882301 0.826275i 0.332511i 0.734115i 0.897521i 0.159193i 0.997494 0.950463 0.904428 0.897802 0.896548 6.436651 2.256737 2.863081 3.937348 35.19821

-1.0

-0.5

0.0

0.5

1.0

1.5

No root lies outside the unit circle. ARMA model is invertible.

MA roots

Corelograma erorilor

Valori efective vs estimate


250 200 150 120 80 40 0 -40 -80 97 98 99 00 01 02 03 04 05 06 07 100 50 0

Residual

Actual

Fitted

Selectarea specificatiei
MA(4)
Adjusted R-squared Akaike info criterion 8.571450 Schwarz criterion 8.682858 8.938210 8.490837 8.893420 8.378862 0.832822

AR(1)
0.765758

ARMA(1,10)
0.863156

Prognoze
Dynamic forecast prognozeaza valoarea in perioada t + 1 pe baza datelor efective pana an momentul t, apoi pentru toate perioadele urmatoare foloseste datele deja prognozate incepand din momentul t + 1. Static forecast prognozeaza o observatie inainte numai pe baza datelor efective.

Realizarea de prognoze

Prognoza dinamica a seriei


80 60 40 20 0 -20 -40 -60 2007M09

2007M10

2007M11 BUBORF

2007M12

VI. Modele cu date panel

Modele cu date panel

Constau in estimarea de ecuatii de regresie in care sunt folosite date care sunt in acelasi timp atat serii de timp ct si date crosssectionale

Utilizari

Rezumarea printr-un singur coeficient al impactului unei variabile asupra unui grup de serii de timp variabile dependente (grup de companii, de tari, etc.). Estimarea de coeficienti specifici (constanta sau coeficienti ai variabilelor independente) pentru fiecare serie de timp considerata ca variabila dependenta efecte fixe. Gruparea variabilelor dependente in categorii si estimarea impactului categoriei din care face parte variabila dependenta asupra evolutiei acesteia

Definirea modelului

Definirea indentificatorilor

Definirea seriilor

Ecuatia de regresie

Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix

Variable

Coefficient

Std. Error

t-Statistic

Prob.

C DLOG(HICP_EU(-1)) DLOG(HICP?(-1)) DLOG(ER?(-1))

0.000698 0.612692 0.553629 0.083851

0.000445 0.104768 0.030088 0.012757

1.566998 5.848058 18.40025 6.572889

0.1175 0.0000 0.0000 0.0000

Weighted Statistics

R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)

0.447658 0.445443 0.928331 202.0780 0.000000

Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat

0.640863 1.207505 644.6258 2.104933

Unweighted Statistics

R-squared Sum squared resid

0.602410 0.080251

Mean dependent var Durbin-Watson stat

0.007916 1.864487

Coeficienti individuali

Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.

C DLOG(HICP_EU(-1)) DLOG(HICP?(-1)) DLOG(ER?(-1)) Fixed Effects (Cross) _CZ--C _HU--C _PO--C _RO--C

0.002113 0.631560 0.492847 0.077977 -0.002185 -0.000839 -0.001681 0.004706

0.000471 0.102724 0.031776 0.012530

4.489158 6.148098 15.50997 6.223189

0.0000 0.0000 0.0000 0.0000

Effects Specification

Cross-section fixed (dummy variables)

Weighted Statistics

R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)

0.466068 0.461768 0.928200 108.3850 0.000000

Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat

0.648656 1.221242 641.8587 2.054515

Unweighted Statistics

R-squared Sum squared resid

0.614957 0.077719

Mean dependent var Durbin-Watson stat

0.007916 1.802623

Impactul anticipatiilor inflationiste

Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.

C DLOG(HICP_EU(-1)) DLOG(ER?(-1)) _CZ--DLOG(HICP_CZ(-1)) _HU--DLOG(HICP_HU(-1)) _PO--DLOG(HICP_PO(-1)) _RO--DLOG(HICP_RO(-1))

0.001447 0.572149 0.065592 0.193372 0.406401 0.326507 0.686025

0.000443 0.102100 0.012463 0.066868 0.052893 0.063476 0.035300

3.264956 5.603786 5.262752 2.891863 7.683466 5.143756 19.43402

0.0011 0.0000 0.0000 0.0039 0.0000 0.0000 0.0000

Weighted Statistics

R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)

0.472755 0.468508 0.924597 111.3341 0.000000

Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat

0.644691 1.220327 636.8850 2.058521

Unweighted Statistics

R-squared Sum squared resid

0.623347 0.076025

Mean dependent var Durbin-Watson stat

0.007916 2.116026

Impactul cursului de schimb

Rezultate regresie
Dependent Variable: DLOG(HICP?) Method: Pooled EGLS (Cross-section SUR) Sample (adjusted): 1996M03 2011M10 Included observations: 188 after adjustments Cross-sections included: 4 Total pool (balanced) observations: 752 Linear estimation after one-step weighting matrix Variable Coefficient Std. Error t-Statistic Prob.

C DLOG(HICP_EU(-1)) DLOG(HICP?(-1)) _CZ--DLOG(ER_CZ(-1)) _HU--DLOG(ER_HU(-1)) _PO--DLOG(ER_PO(-1)) _RO--DLOG(ER_RO(-1))

0.001175 0.513687 0.405206 0.053506 0.006168 0.020524 0.417841

0.000383 0.090404 0.028875 0.026337 0.017179 0.011008 0.030630

3.064805 5.682137 14.03333 2.031585 0.359047 1.864565 13.64161

0.0023 0.0000 0.0000 0.0426 0.7197 0.0626 0.0000

Weighted Statistics

R-squared Adjusted R-squared S.E. of regression F-statistic Prob(F-statistic)

0.506046 0.502068 0.995840 127.2065 0.000000

Mean dependent var S.D. dependent var Sum squared resid Durbin-Watson stat

0.689472 1.354914 738.8147 2.027024

Unweighted Statistics

R-squared Sum squared resid

0.708343 0.058869

Mean dependent var Durbin-Watson stat

0.007916 1.943093

VII. Modele GARCH

Tipuri de volatilitate
Istorica calculata pe baza preturilor istorice ale activelor Exponentialy weighted moving average EWMA Estimata prin modele econometrice (Generalised Autoregressive Conditional Heteroskedasticity - GARCH) Implicita calculata din preturile optiunilor

Calcul volatilitate istorica


1. 2.

Observatii curs spot S0, S1, . . . , Sn la intervale de ani Calcul randament in timp continuu:
Si ui = ln S i 1

3. 4.

Calculul deviatiei standard, s , pentru randamentele ui Estimarea volatilitatii istorice ca:

s =

Modelul EWMA

Conform acestui model, volatilitatea din ziua n este o medie ponderata intre volatilitatea din ziua anterioara si randamentul la patrat u2 din ziua anterioara

=
2 n

2 n 1

+ (1 )u

2 n 1

RiskMetrics (JP Morgan, Reuters) foloseste = 0.94 pentru calculul volatilitatii zilnice

Modele GARCH
In modelul GARCH, volatilitatea depinde de volatilitatile anterioare si de randamentele patratice anterioare ale activului Coeficientii variabielor sunt extimati prin diverse proceduri econometrice

= + ku
2 n k =1

2 nk

+ i
i =1

2 n i

Tipuri de modele GARCH


ARCH GARCH GARCH in Mean Treshold ARCH - TARCH Exponential GARCH - EGARCH Integrated GARCH - IGARCH

Specificare model

Conditii model GARCH

Coeficientii ecuatiei variantei sa fie pozitivi; Suma coeficientilor ecuatiei variantei s fie mai mica decat 1. In caz contrar, modelul este GARCH integrat (I-GARCH), iar volatilitatea este exploziva.

Estimare GARCH(1,1)
Dependent Variable: DL_EUR Method: ML - ARCH (Marquardt) - Normal distribution Sample (adjusted): 2 2148 Included observations: 2147 after adjustments Convergence achieved after 19 iterations Variance backcast: ON GARCH = C(2) + C(3)*RESID(-1)^2 + C(4)*GARCH(-1)

Coefficient

Std. Error

z-Statistic

Prob.

0.000198

8.77E-05

2.260467

0.0238

Variance Equation

C RESID(-1)^2 GARCH(-1)

2.50E-07 0.138819 0.868095

5.08E-08 0.009128 0.008286

4.926018 15.20872 104.7609

0.0000 0.0000 0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood

-0.001355 -0.002757 0.006216 0.082811 8289.659

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion Durbin-Watson stat

0.000427 0.006208 -7.718359 -7.707792 1.848831

Estimare EGARCH(2,1,1)
Dependent Variable: DL_EUR Method: ML - ARCH (Marquardt) - Generalized error distribution (GED) Sample (adjusted): 2 2148 Included observations: 2147 after adjustments Convergence achieved after 25 iterations Variance backcast: ON LOG(GARCH) = C(3) + C(4)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(5)*ABS(RESID(-2)/@SQRT(GARCH(-2))) + C(6)*RESID(-1) /@SQRT(GARCH(-1)) + C(7)*LOG(GARCH(-1))

Coefficient

Std. Error

z-Statistic

Prob.

@SQRT(GARCH) C

0.112635 -0.000457

0.039554 0.000156

2.847620 -2.932430

0.0044 0.0034

Variance Equation

C(3) C(4) C(5) C(6) C(7)

-0.284286 0.399824 -0.170567 -0.026267 0.989348

0.056336 0.049811 0.049394 0.013602 0.004282

-5.046247 8.026844 -3.453202 -1.931131 231.0737

0.0000 0.0000 0.0006 0.0535 0.0000

GED PARAMETER

1.293394

0.047198

27.40373

0.0000

R-squared Adjusted R-squared S.E. of regression Sum squared resid Log likelihood Durbin-Watson stat

0.002000 -0.001266 0.006212 0.082534 8368.537 1.855328

Mean dependent var S.D. dependent var Akaike info criterion Schwarz criterion F-statistic Prob(F-statistic)

0.000427 0.006208 -7.788111 -7.766977 0.612409 0.746122

Corelograma erorilor patratice

Volatilitatea conditionata
.028 .024 .020 .016 .012 .008 .004 .000 250 500 750 1000 1250 1500 1750 2000 Conditional standard deviation

VIII. Modele cu vectori autoregresivi (VAR)

Definitie si utilizare

Un model VAR (Vector Autoregression) permite tratarea simetrica a tuturor variabilelor din model, in sensul ca nu presupune implicit exogeneitatea unei anumite variabile (cum se intampla in cazul OLS).

Construire model VAR

Alegere numar de lag-uri

Alegere numar lag-uri

Stabilitate model VAR

Stationaritate model VAR

Stationaritate model VAR


Autocorrelations with 2 Std.Err. Bounds
Cor(DLOG(HICP_RO),DLOG(HICP_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12 .6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12

Cor(DLOG(HICP_RO),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1

Cor(DLOG(HICP_RO),DLOG(HICP_EU)(-i))

10

11

12

Cor(DLOG(ER_RO),DLOG(HICP_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12 .6 .4 .2 .0 -.2 -.4 -.6 1

Cor(DLOG(ER_RO),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 2 3 4 5 6 7 8 9 10 11 12 1

Cor(DLOG(ER_RO),DLOG(HICP_EU)(-i))

10

11

12

Cor(DLOG(HICP_EU),DLOG(HICP_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 1 2 3 4 5 6 7 8 9 10 11 12 .6 .4 .2 .0 -.2 -.4 -.6 1

Cor(DLOG(HICP_EU),DLOG(ER_RO)(-i))
.6 .4 .2 .0 -.2 -.4 -.6 2 3 4 5 6 7 8 9 10 11 12 1

Cor(DLOG(HICP_EU),DLOG(HICP_EU)(-i))

10

11

12

Testarea autocorelatiei
VAR Residual Portmanteau Tests for Autocorrelations Null Hypothesis: no residual autocorrelations up to lag h Sample: 1996M01 2011M12 Included observations: 186

Lags

Q-Stat

Prob.

Adj Q-Stat

Prob.

df

1 2 3 4 5 6 7 8 9 10 11 12

0.497749 1.487910 4.163052 22.25030 35.55546 52.90164 64.09821 81.99966 89.82131 95.09797 99.91440 154.0077

NA* NA* NA* 0.1353 0.0786 0.0204 0.0201 0.0050 0.0096 0.0247 0.0561 0.0000

0.500439 1.501363 4.220360 22.70513 36.37783 54.30223 65.93665 84.64266 92.86202 98.43849 103.5577 161.3815

NA* NA* NA* 0.1218 0.0661 0.0150 0.0138 0.0028 0.0053 0.0141 0.0334 0.0000

NA* NA* NA* 16 25 34 43 52 61 70 79 88

*The test is valid only for lags larger than the VAR lag order. df is degrees of freedom for (approximate) chi-square distribution

Testarea autocorelatiei
VAR Residual Serial Correlation LM Tests Null Hypothesis: no serial correlation at lag order h Sample: 1996M01 2011M12 Included observations: 186

Lags

LM-Stat

Prob

1 2 3 4 5 6 7 8 9 10 11 12

9.676269 6.781290 17.34069 21.62957 14.02825 18.97320 12.64418 20.40055 8.294159 5.512769 5.240046 72.10294

0.3773 0.6599 0.0436 0.0101 0.1213 0.0254 0.1794 0.0156 0.5048 0.7875 0.8129 0.0000

Probs from chi-square with 9 df.

Testarea distributiei normale


VAR Residual Normality Tests Orthogonalization: Cholesky (Lutkepohl) Null Hypothesis: residuals are multivariate normal Sample: 1996M01 2011M12 Included observations: 186 Component Skewness Chi-sq df Prob.

1 2 3

1.088627 0.763380 -0.043528

36.73835 18.06523 0.058734

1 1 1

0.0000 0.0000 0.8085

Joint

54.86231

0.0000

Component

Kurtosis

Chi-sq

df

Prob.

1 2 3

5.840031 12.63516 4.804536

62.50978 719.4818 25.23672

1 1 1

0.0000 0.0000 0.0000

Joint

807.2283

0.0000

Component

Jarque-Bera

df

Prob.

1 2 3

99.24813 737.5470 25.29545

2 2 2

0.0000 0.0000 0.0000

Joint

862.0906

0.0000

Testarea heteroskedasticitatii
VAR Residual Heteroskedasticity Tests: No Cross Terms (only levels and squares) Sample: 1996M01 2011M12 Included observations: 186 Joint test:

Chi-sq

df

Prob.

420.2497

108

0.0000

Individual components:

Dependent

R-squared

F(18,167)

Prob.

Chi-sq(18)

Prob.

res1*res1 res2*res2 res3*res3 res2*res1 res3*res1 res3*res2

0.359985 0.458122 0.410657 0.414220 0.137523 0.715462

5.218402 7.843734 6.464790 6.560566 1.479350 23.32867

0.0000 0.0000 0.0000 0.0000 0.1029 0.0000

66.95714 85.21061 76.38214 77.04500 25.57924 133.0759

0.0000 0.0000 0.0000 0.0000 0.1098 0.0000

Definitia impulsului

Definitia impulsurilor conteaza deoarece:


in

cazul descompunerii Cholesky conteaza ordonarea variabilelor daca acestea sunt corelate intre ele; in cazul descompunerii generalizate nu conteaza ordonarea variabilelor; in cazul descompunerii structurale, aceasta poate fi utilizata doar daca a fost specificat anterior un model structural cu restrictiile necesare.

Functii de impuls-raspuns

Functii de impuls-raspuns
Response to Cholesky One S.D. Innovations 2 S.E.
Response of DLOG(HICP_RO) to DLOG(HICP_RO)
.020 .015 .010 .005 .000 -.005 -.010 1 2 3 4 5 6 7 8 9 10 11 12

Response to Cholesky One S.D. Innovations 2 S.E.


Response of DLOG(ER_RO) to DLOG(HICP_RO)
.04 .03 .02 .01 .00 -.01 -.02 1 2 3 4 5 6 7 8 9 10 11 12

Response of DLOG(HICP_RO) to DLOG(ER_RO)


.020 .015 .010 .005 .000 -.005 -.010 1 2 3 4 5 6 7 8 9 10 11 12

Response of DLOG(ER_RO) to DLOG(ER_RO)


.04 .03 .02 .01 .00 -.01 -.02 1 2 3 4 5 6 7 8 9 10 11 12

Response of DLOG(HICP_RO) to DLOG(HICP_EU)


.020 .015 .010 .005 .000 -.005 -.010 1 2 3 4 5 6 7 8 9 10 11 12

Response of DLOG(ER_RO) to DLOG(HICP_EU)


.04 .03 .02 .01 .00 -.01 -.02 1 2 3 4 5 6 7 8 9 10 11 12

Descompunerea variantei
Variance Decomposition
Percent DLOG(HICP_RO) variance due to DLOG(HICP_RO)
100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12

Variance Decomposition
Percent DLOG(ER_RO) variance due to DLOG(HICP_RO)
100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12

Percent DLOG(HICP_RO) variance due to DLOG(ER_RO)


100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12

Percent DLOG(ER_RO) variance due to DLOG(ER_RO)


100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12

Percent DLOG(HICP_RO) variance due to DLOG(HICP_EU)


100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12

Percent DLOG(ER_RO) variance due to DLOG(HICP_EU)


100 80 60 40 20 0 1 2 3 4 5 6 7 8 9 10 11 12