Hi,
Am stuck in the middle of my analysis with the following problem. Am actually estimating a model using GARCH with the presence of conditional variance.. The problem is, I do not know how to do so in EViews. I'll be grateful if I can obtain help on this forum.
The equation of the conditional variance is :
var = c + B0 (E t-1)^2 + B1 (VAR t-1)^2 + B2 (Dummy)((E t-1)^2)
with the dummy variable=1 if the lagged error E t-1 is negative and equal to zero otherwise.
note: E t is the error term of the mean equation
Modelling conditional variance in eviews using GARCH
Moderators: EViews Gareth, EViews Moderator
Re: Modelling conditional variance in eviews using GARCH
This looks like a TARCH model. The command line estimation can be done as follows:
Here, y is your dependent variable of the mean equation not the conditional variance. You can also use the Estimation dialog box, but do not forget to change the value of "Threshold order".
Code: Select all
equation myeq.arch(1,1,thrsh=1) y c
Here, y is your dependent variable of the mean equation not the conditional variance. You can also use the Estimation dialog box, but do not forget to change the value of "Threshold order".
Re: Modelling conditional variance in eviews using GARCH
thanks trubador, but actually i cannot insert the following mean equation
I am trying to estimate a garch model whose mean equation includes the variance equation three times. And also, two of the variances are multiplied by another independent variable. I don't know how to estimate this in eviews.
The mean equation is:
Rt = C+ B0(variance) - B1 (Rt-1) - B2(Rt-1)(Variance) - B3 (Rt-1)(dummy variable)(variance) + error_term
and the conditional variance is modelled by:
variance_t = C + X1 (error_term_t-1 ^2) + X2 (variance_t-1)
Please help.
I am trying to estimate a garch model whose mean equation includes the variance equation three times. And also, two of the variances are multiplied by another independent variable. I don't know how to estimate this in eviews.
The mean equation is:
Rt = C+ B0(variance) - B1 (Rt-1) - B2(Rt-1)(Variance) - B3 (Rt-1)(dummy variable)(variance) + error_term
and the conditional variance is modelled by:
variance_t = C + X1 (error_term_t-1 ^2) + X2 (variance_t-1)
Please help.
Re: Modelling conditional variance in eviews using GARCH
This is a very specific form of GARCH model. In such cases, you have to build the model from scratch. You can use EViews' LogL object for that purpose. You will find plenty of examples if you search the forum.
Re: Modelling conditional variance in eviews using GARCH
has it beeb solved, please?
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