dummy variance equation garch

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mkwazi
Posts: 8
Joined: Thu Jul 13, 2017 7:42 am

dummy variance equation garch

Postby mkwazi » Tue Jul 18, 2017 11:54 pm

Hi there, I hope you are keeping well.

I have tried to estimate a GARCH(1,1) with a dummy variable into the variance equation in the following way:

R_V1 = C(1) + C(2)*DUMMY + [AR(1)=C(3)]

GARCH = C(4) + C(5)*RESID(-1)^2 + C(6)*GARCH(-1) + C(7)*DUMMY*GARCH(-1) + C(8)*DUMMY*RESID(-1)^2

however, even though eviews employs GARCH(-1) and RESID(-1) directly by default, it don't recognize the terms GARCH(-1) and RESID(-1)^2 when I have put them into the variance equation. How can I recover those terms? exist other way to estimate this variance equation with dummies?

please, your comments.
all the best.
MS.

mkwazi
Posts: 8
Joined: Thu Jul 13, 2017 7:42 am

Re: dummy variance equation garch

Postby mkwazi » Mon Jul 24, 2017 7:33 am

Hi, any comments about it?
thanks.
MS


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