dummy variance equation garch
Posted: 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.
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.