GARCH- rolling regressions

For questions regarding programming in the EViews programming language.

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Joined: Fri Mar 23, 2018 2:57 am

Re: GARCH- rolling regressions

Postby jdh.stirling » Wed Jun 06, 2018 4:22 am

Hi trubador,

I also want to estimate a model which captures the effect of the interaction between conditional volatility and the lagged dependent variable. Could u hint me to the code you mentioned?

The model I want to estimate in Eviews is the following:

r_t = beta_0 + beta_1 "conditional variance" + beta_2 r_t(-1) + beta_3(r_t(-1)*"conditional variance") + u_t

where the conditional variance is either modeled by an EGARCH(1,1) or TGARCH(1,1) with an GED distribution.

With the GARCH-M option in the estimation window I can include the conditional variance but not the interaction term.
I hope that your mentioned code below can help me with this problem.

trubador wrote:What Gareth means is that, you do not have to use a LogL object if you are trying to estimate a regular GARCH or GARCH-in-mean model as they are already built-in.

I wrote the code you use for another user so as to allow him/her to estimate the effect of the interaction between conditional volatility and the lagged dependent variable (i.e. garchm*y(-1)) in the mean equation. If you only need garchm in the mean equation, then the following part of the code will be enough:

Code: Select all

equation eq1.arch(1,1,ged,archm=VAR,backcast=1) y c y(-1)

There is really nothing special about the Rolling part of the model and you already have a good example.

Posts: 5
Joined: Mon Mar 04, 2019 8:02 pm

GARCH- rolling regressions

Postby cgsantamaria » Tue Mar 05, 2019 6:47 am

Hi to everybody I´m proving to make a rolling window with a realized GARCH of Hansen. I need to evaluate the model and estimate in sample and out of sample a parametric Value at Risk. Well, I attach the code and file here but the problem is about the matrix coefmat that shows the same values of each coefficient for the rolling window. Could somebody help me?

Thank you!!!!
rolling windows rgarch.prg
(1.68 KiB) Downloaded 10 times
data SP500.WF1
(38.8 MiB) Downloaded 8 times

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