Estimating state space model for GARCH(1,1)

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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EViews Glenn
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Joined: Wed Oct 15, 2008 9:17 am

Re: Estimating state space model for GARCH(1,1)

Postby EViews Glenn » Wed Oct 14, 2020 10:22 am

The extended Kalman filter is not supported in EViews.

arianbhm
Posts: 2
Joined: Wed Oct 14, 2020 8:28 am

Re: Estimating state space model for GARCH(1,1)

Postby arianbhm » Wed Oct 14, 2020 8:22 pm

EViews Glenn wrote:The extended Kalman filter is not supported in EViews.


Thank you so much for your quick reply. So, basically even though EVIEWS can solve GARCH(1,1) and GARCH-M(1,1), it is not possible to solve them in the state space structures using Extended or Unscented Kalman Filter since both are nonlinear (having nonlinear terms in the state space model). Am I right?

Here is the nonlinear state space form of GARCH(1,1):
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