Using Midas to estimate a Garch-Midas model

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tr206
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Joined: Tue Feb 28, 2017 12:45 pm

Using Midas to estimate a Garch-Midas model

Postby tr206 » Sun Apr 02, 2017 11:24 pm

Hi everybody,
I am new in eviews. I want to run a Garch-Midas model using eviews. I conducted the Midas example shown on the eviews webpage and get similar results. However, I need to calculate a long-run component referred to as tau.

The formula for tau is shown in the attachment where c is a constant and X is the monthly macroeconomic variable. As you can see, the formula incorporates two or more regressors X but for the time being I want to apply this formula for the GDPG and emp example shown in the online video.
Phi denotes the weighting scheme depending on w1 and w2.
K is the number of variable lags.
The slope parameter θ reveals the impact the past behaviour of a macroeconomic variable has on the long-run volatility component.

My question now is how can I estimate tau in eviews given the output eviews provides? The goal is to generate a time series of monthly taus.
Furthermore, could you help me with the interpretation of the output? What does Beta01, Beta02 and Beta03 stand for and what is meant by slope? How can I see if a regressor is significant?

Thank you very much in advance.
Attachments
Bildschirmfoto 2017-04-03 um 08.04.49.png
formula for tau
Bildschirmfoto 2017-04-03 um 08.04.49.png (7.3 KiB) Viewed 2100 times

EViews Gareth
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Re: Using Midas to estimate a Garch-Midas model

Postby EViews Gareth » Mon Apr 03, 2017 12:26 am

EViews does not currently handle GARCH-MIDAS.
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tr206
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Re: Using Midas to estimate a Garch-Midas model

Postby tr206 » Mon Apr 03, 2017 1:58 am

I know. But can I somehow use the data in the Midas output to write a code in the command window to calculate tau? I do not know how to write such a formula in eviews and how to grap the variables in the Midas output to use it in the tau formula.

EViews Gareth
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Re: Using Midas to estimate a Garch-Midas model

Postby EViews Gareth » Mon Apr 03, 2017 3:45 am

No.
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tr206
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Re: Using Midas to estimate a Garch-Midas model

Postby tr206 » Mon Apr 03, 2017 3:51 am

Is there really no possibility to calculate tau even if I use the command window and enter the outcome manually?

EViews Gareth
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Re: Using Midas to estimate a Garch-Midas model

Postby EViews Gareth » Mon Apr 03, 2017 4:21 am

It is a completely different estimator. They're not related in any way other than name.
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tr206
Posts: 13
Joined: Tue Feb 28, 2017 12:45 pm

Re: Using Midas to estimate a Garch-Midas model

Postby tr206 » Mon Apr 03, 2017 4:51 am

The tau formula includes the beta weighting and the slope parameter obtained from Midas. hence, tau is based on the Midas outcome but I do not know how to write this formula in eviews to generate a time series of tau.
The formula must be something like a multiplication of two vectors where one vector contains the lags and the other vector contains the coefficients i.e. the coefficients for EMPMONTH\EMP(-5) in the eviews example.
I just need help on how to write such formula and how do I apply it in eviews. In the example shown online, the series emp is generated by using a code in the command window. Must I write such a code in the command window to generate a series of tau and how does it look like? That is the question.

muhammet
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Joined: Tue Mar 28, 2017 6:23 am

Re: Using Midas to estimate a Garch-Midas model

Postby muhammet » Thu Apr 20, 2017 7:22 am

hi dude, I will use Garch-Midas model too. well you can use this model on matlab r2015b, there is a toolbox you should add it too after you set up the matlab. https://www.mathworks.com/matlabcentral ... ab-toolbox hey can we touch when we use this program, because I have some trouble too?

Yosr Ben Hmidène
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Joined: Tue Sep 25, 2018 12:57 pm

Re: Using Midas to estimate a Garch-Midas model

Postby Yosr Ben Hmidène » Sun Sep 30, 2018 9:49 am

hi dude, I will use Garch-Midas model too. well you can use this model on matlab r2015b, there is a toolbox you should add it too after you set up the matlab. https://www.mathworks.com/matlabcentral ... ab-toolbox hey can we touch when we use this program, because I have some trouble too?

Hi mohamed ! I'm from Tunisia and I'm also using Garch-Midas for my master's thesis ! Can we get in touch through emails/ facebook ?

Yosr Ben Hmidène
Posts: 2
Joined: Tue Sep 25, 2018 12:57 pm

Re: Using Midas to estimate a Garch-Midas model

Postby Yosr Ben Hmidène » Sun Sep 30, 2018 9:52 am

Hi ! I'll be using garch-midas for my master thesis. Since it doesn't exist on Stata/ EViews, I'll be using R studio instead. I need some help ! Can we get in touch through emails/ facebook ?


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