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How to detect possible unknown multiple structural breaks in time series by EViews? Thanks

Can anyone tell me how to plot the forecasted volatility and realised volatility together? Thanks

In any GARCH class models, under student-t distribution, there is a parameter tells the degree of freedom for t-distribution, an example as follow, Variable Coefficient Std. Error z-Statistic Prob. T-DIST. DOF 4.022850 0.182659 22.02384 0.0000 From my understanding, the result shows student-t is sig...

If I change the sample size, and make it longer, the alpha and beta will be positive and significant. Can anyone explain this? Thanks

Hello guys, Can someone please help me with the following question? When I estimate CGARCH model in five exchange returns, for three of series, I got negative coefficient on either alpha or beta, so alpha+beta<1. and both of them are insignificant as well. I tried both student-t and normal distribut...

Hi Trubador,
For question 1, it works when I change error distribution as Normal Distribution. Could you please explain why this is happened? Thanks

Thanks Trubador.

Hi guys, Could someone please help me with this? Thanks Q1. This is what I got from IGARCH(1,1). Could you please tell me what I should do with this? Dependent Variable: R_JPY Method: ML - ARCH (Marquardt) - Student's t distribution Sample (adjusted): 1/06/1999 1/05/2009 Included observations: 2511 ...

Hi guys, I'd like to ask a question about error distribution when estimate GARCH model. If I have an exchange rate return series and it's error term appears fat tails, I decide to estimate GARCH model under the assumption of Non-normality and Student-t distribution, but some literatures apply quasi-...