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.
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.
2 posts • Page 1 of 1
Who is online
Users browsing this forum: No registered users and 5 guests