TGARCH

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rahma
Posts: 8
Joined: Mon Mar 18, 2013 8:34 am

TGARCH

Postby rahma » Fri Mar 22, 2013 7:11 am

Hello :)

I am just starting to learn Eviews, and i don't have enough time to finish my research, can you please show me how to estimate this TGARCH eq
= c0 + c1e2cot-1 +(-)dt-1e2cot-1 + c2 sigman t-12

Thanks :)
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trubador
Did you use forum search?
Posts: 1518
Joined: Thu Nov 20, 2008 12:04 pm

Re: TGARCH

Postby trubador » Sat Mar 23, 2013 4:34 am

The file attached might give you the idea...
Attachments
TGARCH.png
Demonstration of TGARCH estimation in EViews
TGARCH.png (158.14 KiB) Viewed 7057 times
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rahma
Posts: 8
Joined: Mon Mar 18, 2013 8:34 am

Re: TGARCH

Postby rahma » Mon Mar 25, 2013 6:26 am

I am using Eviews4, can you explain to me what is the mean equation and the variance regressors? Sorry i am still learning
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James017
Posts: 1
Joined: Mon Nov 02, 2015 10:40 pm

Re: TGARCH

Postby James017 » Mon Nov 02, 2015 11:59 pm

The critical values are differ slightly but I believe that's because in EViews 4.1 we used the newer critical value simulations. Bottom line is that at least for this specification, there are no appreciable differences between versions. What specifications are you using???




31. http://www.chessrivals.net/
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