GARCH modelling for my equation below, any help please?

For econometric discussions not necessarily related to EViews.

Moderators: EViews Gareth, EViews Moderator

Posts: 1
Joined: Fri Feb 16, 2018 4:55 am

GARCH modelling for my equation below, any help please?

Postby Squarix » Fri Feb 16, 2018 11:44 am

I am trying to compose the following equation into e views:

returns on gold t = a + b returns (stock) t + b0 returns (stock) t(q) + c0 returns (bond) t + c1 returns bond t(q) + e (1)

The t and t(q) are subscript. I understand that I need to translate my stock and bond variables into stationary terms, however I am a little confused on how to model this in e views. The stock t(q) means when stock and bond markets, whereby asymmetries of both positive and negative extreme shocks are represented to focus falls in concerned markets.

I understand the estimate equation function in E-Views, and how i select Autoregressive for ARCH, then I am unsure of what my mean equation will be for the above equation, and what the variance equation will be? So I can sucessfully asses whether Gold is a hedge or safe haven in the particular markets.

I have data on gold, stock and bond, and translated them all into returns. I am now ready to implement my data and estimate it into E-Views, however i do not know what to insert into the box that pops up after I have clicked ESTIMATE EQUATION.

I want to ultimately test for the coefficients on each, and see what they sum up to, also do I need to use the residuals of the stock, bond and gold returns in the GARCH model, and how do I initially get the residual data from my original data of returns, to then put into the GARCH model?

I have composed returns of stock and bond returns, I do not know how to successfully insert my data into eviews for the equation in 1, any help please?

Return to “Econometric Discussions”

Who is online

Users browsing this forum: No registered users and 7 guests