Help with EGARCH volatility estimate

[alexlondon]

Hi All,

I was wondering if someone could help me with the below as my Eviews knowledge is relatively limited.

What I am trying to achieve is to price SPX (S&P 500) options using volatility estimated by the EGARCH model.

I have run the EGARCH (1,1) model on the daily log returns of the index (01/06/2005 - 01/06/2010) and I can see the equation's parameters(α,β,γ).

Now, I need the volatility estimate so I can price an option as of 02/06/2010 i.e. t+1. Also, I want to keep calculating the volatility for the following 2 years on a daily basis by using the returns of the last 5 years. I.e. to calculate the volatility for 02/06/2010 my sample will be 01/06/2005 - 01/06/2010 but to calculate the volatility the following day (03/06) I would like my sample to include the returns of 02/06 (02/06/2005 - 02/06/2010).

Is it possible to have my sample rolling by 1 day every time without the need to calculate the EGARCH equation manually 400 times..? Also, regardless of the answer to the first question, how/where do I see the variance estimate for my sample population in Eviews?

I will really appreciate any help / guidance and apologies in advance if the question has been answered already in this forum. If something isn't clear in my question please let me know.

Thanks,
Alex

[EViews Gareth]

There is nothing built in that will do the rolling estimation/forecast, but there are plenty of examples of writing EViews scripts so that you don't have to manually do it:
viewtopic.php?f=15&t=878
(just one example).

If you click on the Proc->Make GARCH Variance Series, you can see the in-sample GARCH.

[alexlondon]

Thanks Gareth appreciate the help!