Programming GARCH(1,1)

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Garch
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Joined: Wed Jul 15, 2015 2:28 am

Programming GARCH(1,1)

Postby Garch » Wed Jul 15, 2015 2:35 am

Hi,

I´ve computed weekly log returns via Eviews8 and estimated the parameters of GARCH(1,1).


I would like to predict the returns with the mean equation:

r = h(t)^0,5 * white noise


and the variance equation:

h(t)= gamma + alpha * r(t-1) + beta * h(t-1)

Therefore i need to program this equations but I´ve got no idea how to do that. Have read the user´s guide and searched for solutions on the internet but were not able to find the solution. Could you help me please?

Kind regards

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