Garch with structural breaks

Hello, I am a new learner for garch code with structural breaks, this is the output, I am not certain about the results with the first and second lines, are there the percentage of the structural breaks of the sample? Thank you for any help.

|========> Series : MONTEREY

Panel # = 1.0000

break point ---- tvalue

0.25
0.50
-11.74

|========> Series : AUSTIN_C

Panel # = 2.0000

break point ---- tvalue

0.58
0.77
-24.27

1 Answer



0



accepted

I think that the breakpoint percentages are indicating the observation number of the break. For example, if your data has 200 observations a break at 0.58 would indicate the 116th observation.

aptech

1,323

Your Answer


You must login to post answers.

Have a Specific Question?

Get a real answer from a real person

Need Support?

Get help from our friendly experts.

Try GAUSS for 30 days for FREE

See what GAUSS can do for your data

© Aptech Systems, Inc. All rights reserved.

Privacy Policy