GARCH(1,1) example in help file

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mwu888
Posts: 25
Joined: Sat Jul 09, 2011 5:49 pm

GARCH(1,1) example in help file

Postby mwu888 » Tue Sep 06, 2011 5:22 am

Hi,

Eviews help file provides an example of GARCH(1,1) model of the first difference of log daily S&P 500 (DLOG(SPX)). The sample period is from 1/2/90 to 12/31/1999. So the estimated variance from this model is for 1/2000, right?
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EViews Glenn
EViews Developer
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Re: GARCH(1,1) example in help file

Postby EViews Glenn » Tue Sep 06, 2011 2:59 pm

Which estimated variance?
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