Search found 19 matches

by Student15
Thu Jun 25, 2015 5:08 am
Forum: Programming
Topic: Rolling Garch code in Eviews 9
Replies: 4
Views: 1594

Re: Rolling Garch code in Eviews 9

Thank you for those suggestions. I have tried to stop the program halfway, several times and noted that the sample is changing but the coefficients alternate between these two values -0.052891 and -0.056721 over the sample period or it could be a case of a string of the same value (e.g -0.052891) an...
by Student15
Wed Jun 24, 2015 1:47 pm
Forum: Programming
Topic: Rolling Garch code in Eviews 9
Replies: 4
Views: 1594

Re: Rolling Garch code in Eviews 9

Thank you Gareth for your response, the issue is I intend to have 115 rolls which translate into 115 monthly(rolling) coefficients over the sample period. So I used 20.6, which I now understand that it is mispecified, so that the number of rolls !nrolls = @round((!length-!window)/!step) will equal t...
by Student15
Tue Jun 23, 2015 3:53 pm
Forum: Programming
Topic: Rolling Garch code in Eviews 9
Replies: 4
Views: 1594

Rolling Garch code in Eviews 9

Hi Eviews Gareth I am estimating a Garch rolling regression with a moving window of 126 observations and a step size of 20.6. I have used the following code in Eviews 8 and I got some decent results, however when I use the same code in Eviews 9, I get the same value for each coefficient for the whol...
by Student15
Sat Jun 06, 2015 5:39 pm
Forum: Programming
Topic: Moving sample method
Replies: 0
Views: 695

Moving sample method

Hi Guys May you please help me with correctly declaring my sample objects in a rolling regression. I am trying to estimate a rolling regression with a moving window of 126 observations and a step size of 20.6. I am using daily data (irregular), so for example the observations from January 2004 to Ju...
by Student15
Mon Jun 01, 2015 12:38 am
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

Finally, the code is now storing all the coefficients correctly. Thank you so much Gareth for all the help, greatly appreciated :D :D .
by Student15
Sun May 31, 2015 11:29 pm
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

115
by Student15
Sun May 31, 2015 10:51 pm
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

Thank you Gareth. Do you have any idea of how I can solve this error given my current code. I have tried to change some aspects of the code using the information I got on the forum regarding the division by zero error but I don't seem to get it right 'run rolling regression ' set window size !window...
by Student15
Fri May 29, 2015 2:20 pm
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

Hi Gareth,the code is now assigning different values for each coefficient, thank you. However, I am getting the following error message during the estimation process: Division by zero in "colplace(tmat,ll1.@tstats,4)".
by Student15
Fri May 29, 2015 2:00 pm
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

Thank you Gareth, let me do so.
by Student15
Fri May 29, 2015 7:42 am
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Re: Sample objects in a rolling regression

Thank you Gareth for the quick response, greatly appreciated. How do I go about changing that so that I store all the coefficients correctly?
by Student15
Fri May 29, 2015 5:29 am
Forum: Programming
Topic: Sample objects in a rolling regression
Replies: 11
Views: 2457

Sample objects in a rolling regression

Hi Guys I am trying to estimate a rolling regression with a moving window of 126 observations and a step size of 20.6. I have tried the code below and it is giving me results. However, when storing the coefficients, for each coefficient, it gives me the same value for all the 115 iterations. I think...
by Student15
Tue May 19, 2015 6:17 pm
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8541

Re: GARCH- rolling regressions

Hi Trubador Thank you for those corrections, I have effected them and that problem was solved. However, there is another error: Matrix size mismatch in "colplace(coefmat,Eq1.@coefs,1) and the coefficients are not being stored. I have tried to follow some links on the forum such as viewtopic.php...
by Student15
Thu May 14, 2015 1:47 am
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8541

Re: GARCH- rolling regressions

Hi Trubador

Thank you for the quick response, let me try to effect those changes.
by Student15
Thu May 14, 2015 12:57 am
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8541

Re: GARCH- rolling regressions

Hi I have tried to embed my full estimation procedure into a single code as you stipulated. My mean equation is: r_t=α+θσ_t^2+(ϕ_0+ϕ_1 σ_t^2 ) r_(t-1)+ε_t and my variance equation is : σ_t^2=ω+βε_(t-1)^2+λσ_(t-1)^2+δS_(t-1) ε_(t-1)^2.To estimate my model, for each individual share, every month-end d...
by Student15
Mon Apr 27, 2015 8:19 am
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8541

Re: GARCH- rolling regressions

Thank you, let me try to do that.

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