Search found 3 matches

by HJ123
Thu Nov 10, 2016 6:04 am
Forum: Programming
Topic: GARCH - Rolling Regression
Replies: 1
Views: 1146

GARCH - Rolling Regression

Hey there, I want to run a rolling regression for a GARCH(1,1), mean equation being an ARMA-Process. I use monthly data on US CPI from 1973.01 - 2015.12. I'm using EViews 9.5 Student Version. I executed following codes in chronological order: 'declare series to store the output series rf series volf...
by HJ123
Wed Nov 09, 2016 3:20 pm
Forum: Programming
Topic: GARCH- rolling regressions
Replies: 16
Views: 8545

Re: GARCH- rolling regressions

Hey there, I want to run a rolling regression for a GARCH(1,1), mean equation being an ARMA-Process. I use monthly data on US CPI from 1973.01 - 2015.12. I'm using EViews 9.5 Student Version. I executed following codes in chronological order: 'declare series to store the output series rf series volf...
by HJ123
Sat Oct 08, 2016 10:15 am
Forum: Programming
Topic: Divide one series into two
Replies: 1
Views: 606

Divide one series into two

Hi, I have a time series with positive and negative values which I want to divide into two sperate ones. I want to generate one series with only all positive values (and all negative values being 0) and the other series to be only all negative values (all positive values being 0). For example: 1. 1 ...

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