GRJ GARCH additional daily lags

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francesco.c
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Joined: Fri Jan 26, 2018 6:23 am

GRJ GARCH additional daily lags

Postby francesco.c » Wed Jan 31, 2018 5:44 am

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:

add lags.PNG
add lags.PNG (39.44 KiB) Viewed 207 times


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 :)

Thank you!

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