GARCH model with filter

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Kalec
Posts: 14
Joined: Sat Aug 15, 2009 5:14 pm

GARCH model with filter

Postby Kalec » Sat Aug 15, 2009 8:34 pm

Dear All,

I need to do a GARCH model with filter. Does anyone know how I could filter the GARCH model in eview?
The equations are:

rt= C=Ft εt where εtI ϕt-1 ~N(0,h)
Ft=(1+ρ1 It)(1+ρ2 It-1) (1+ρ3 It+1)
ht= ω+αε^2 t-1+βh t-1 +γ^- t-1ε^2 t-1

Many thanks

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