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TGARCH

Posted: Fri Mar 22, 2013 7:11 am
by rahma
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 :)

Re: TGARCH

Posted: Sat Mar 23, 2013 4:34 am
by trubador
The file attached might give you the idea...

Re: TGARCH

Posted: Mon Mar 25, 2013 6:26 am
by rahma
I am using Eviews4, can you explain to me what is the mean equation and the variance regressors? Sorry i am still learning

Re: TGARCH

Posted: Mon Nov 02, 2015 11:59 pm
by James017
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???




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