Dear Ladies and Gentlemen,
I have a question regarding the estimation of the mean equation in a GJR Garch Model in Eviews. See please equations 1 and 2 attached as image or the word file.
Equation 2 is the one for the GJR Model, Equation 1 is my mean equation. My problem is that I do not know to incorporate both the contemporaneous variance and the parameters in brackets before rt-1 in equation 1.
I could estimate a GARCH Mean model, but this would only estimate thetha, I want to estimate also phi 0 and phi 1 in equation 2.
Could you please help me in this issue?
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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