Programming of Standard GARCH, TARCH, IGARCH and EGARCH

[minko.markovski123]

Hello,

I have a project where I have to do estimations by using univariate Standard GARCH, TARCH, IGARCH and EGARCH.

Below are the codes I use extracted from a loop and would appreciate if you could advise whether they are correct (I am pretty sure that TARCH and EGARCH are not), but was not able to find the wright commands.

Would you please help on sharing the correct commands for the 4 types of estimations?

Many thanks in advance and best regards,

Minko

1. Standard GARCH:

equation eq_{%v{!k}}.arch v{!k} c v1(-1) v2(-1) v3(-1) v4(-1) v5(-1) v6(-1) v7(-1) v8(-1) v9(-1) v10(-1) v11(-1) v12(-1) v13(-1) v14(-1) v15(-1) v16(-1) v17(-1) v18(-1) v19(-1) v20(-1) v21(-1) l1(-1) l2(-1) l3(-1) l4(-1) l5(-1) l6(-1) l7(-1) l8(-1) l9(-1) l10(-1) l11(-1) l12(-1) l13(-1) l14(-1) l15(-1) l16(-1) l17(-1) l18(-1) l19(-1) l20(-1) l21(-1)
eq_{%v{!k}}.makegarch sgarch_var_{%v{!k}}

2. TARCH:

c = 0.1

equation eq_{%v{!k}}.arch(thrssh=1,s, mean=var) v{!k} c v1(-1) v2(-1) v3(-1) v4(-1) v5(-1) v6(-1) v7(-1) v8(-1) v9(-1) v10(-1) v11(-1) v12(-1) v13(-1) v14(-1) v15(-1) v16(-1) v17(-1) v18(-1) v19(-1) v20(-1) v21(-1) l1(-1) l2(-1) l3(-1) l4(-1) l5(-1) l6(-1) l7(-1) l8(-1) l9(-1) l10(-1) l11(-1) l12(-1) l13(-1) l14(-1) l15(-1) l16(-1) l17(-1) l18(-1) l19(-1) l20(-1) l21(-1)
eq_{%v{!k}}.makegarch tarch_var_{%v{!k}}

3. IGARCH:

equation eq_{%v{!k}}.arch(1,1,integrated) v{!k} c v1(-1) v2(-1) v3(-1) v4(-1) v5(-1) v6(-1) v7(-1) v8(-1) v9(-1) v10(-1) v11(-1) v12(-1) v13(-1) v14(-1) v15(-1) v16(-1) v17(-1) v18(-1) v19(-1) v20(-1) v21(-1) l1(-1) l2(-1) l3(-1) l4(-1) l5(-1) l6(-1) l7(-1) l8(-1) l9(-1) l10(-1) l11(-1) l12(-1) l13(-1) l14(-1) l15(-1) l16(-1) l17(-1) l18(-1) l19(-1) l20(-1) l21(-1)
eq_{%v{!k}}.makegarch igarch_var_{%v{!k}}

4. EGARCH:

equation eq_{%v{!k}}.arch(asy=0, egarch, z) v{!k} c v1(-1) v2(-1) v3(-1) v4(-1) v5(-1) v6(-1) v7(-1) v8(-1) v9(-1) v10(-1) v11(-1) v12(-1) v13(-1) v14(-1) v15(-1) v16(-1) v17(-1) v18(-1) v19(-1) v20(-1) v21(-1) l1(-1) l2(-1) l3(-1) l4(-1) l5(-1) l6(-1) l7(-1) l8(-1) l9(-1) l10(-1) l11(-1) l12(-1) l13(-1) l14(-1) l15(-1) l16(-1) l17(-1) l18(-1) l19(-1) l20(-1) l21(-1)
eq_{%v{!k}}.makegarch egarch_var_{%v{!k}}

[EViews Gareth]

https://help.eviews.com/#page/content%2 ... 23ww548392