Hi guys! I'm a beginner student of econometrics and i need help. Once i have estimated a TGARCH(1,1), i have to answer the following question: " Insert in your best GARCH model the lagged daily range variable: is there any thing that changes? Is the sign of the daily range coefﬁcient in line with your expectations? Please comment."
I produced i Eviews the following output:
The thing i should comment is releted to the sign of the ARCH and the GARCH parts of the model. I notice that (for instance) GARCH(-1) is positive but GARCH(-2) is negative. Why?
Help me please
For econometric discussions not necessarily related to EViews.
1 post • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 35 guests