Estimation of mean equation in a GJR Model Eviews

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Estimation of mean equation in a GJR Model Eviews

Postby klotzle » Fri Sep 29, 2017 2:33 pm

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?


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Equation 2
equation2.png (5.91 KiB) Viewed 65 times
Equation 1
equation1.png (6.3 KiB) Viewed 65 times

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