EViews.com

Hello to the community. I am trying to estimate the Value at Risk (VaR) of a signle asset using GARCH models. I have chosen the S&P 500 index for the period 04/MAY/2016 up to 04/MAY/2017 (daily data). After a few tries a found out that the best GARCH model is a GARCH(2,2). Now I stuck to the nex...

Residuals are stationary. It's fine that. The country I examine is an importer , thus it depends from oil. So, as i understand, the negative threshold term is fine in my model, since a positive shock (bad news) will cause more volatility in gas returns

Thanks for the response. Actually in my model that results I think it's a little weird since I have estimated the effects of oil returns to gas returns (GAS_returns=a+b*OIL_returns) and I am confused right now. So, I suppose that bad news for oil price is a positive shock (I assume that when oil pri...

Hello to the community. I am a little confused about an estimation of a T-GARCH(1,1,1) model. So, I have two variables (X,Y) which are stationaty and the ARCH LM test showed that there is arch effect I have estimated the model and I found that the threshold term is negative. What does this mean? Any...

Hello guys! I am having an issue with those models. Unfortunately the guide doesn't clear the techical differences. So, my question is this. I am trying to see if there is effect in my variable, from its previous value and the previous year value (-->season effect) I have typed in eviews 3 different...