Estimation of mean equation in a GJR Model Eviews
Posted: 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?
Thanks
Marcelo
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?
Thanks
Marcelo