Search found 3 matches
- Thu Nov 06, 2014 2:35 am
- Forum: Estimation
- Topic: GARCH (1.1) with dummy variable
- Replies: 4
- Views: 3515
Re: GARCH (1.1) with dummy variable
1) You have only 45 observations, which can be problematic for GARCH analysis. 2) There are large gaps in your data (i.e. jump from March to October). 3) Since you are using a dummy variable, you do not have to run the analysis twice. 4) Negative parameter values are not much of a problem, unless t...
- Thu Nov 06, 2014 2:27 am
- Forum: Estimation
- Topic: GARCH (1.1) with dummy variable
- Replies: 4
- Views: 3515
Re: GARCH (1.1) with dummy variable
I do not know how I can run this in E-views. Can you please let me know what steps should I follow to run the GARCH (1.1) with dummy in eviews?Which bit are you having trouble with?
- Wed Nov 05, 2014 2:40 pm
- Forum: Estimation
- Topic: GARCH (1.1) with dummy variable
- Replies: 4
- Views: 3515
GARCH (1.1) with dummy variable
How I can write my GARCH (1.1) with the dummy variable? I have the following data set. now I need to calculate GARCH (1.1) for twice, one for date 03/10/2001 to 31/10/2001 with dummy 0 and one for date 03/03/2001 to 31/03/2001 with dummy 1 The parameters value should be positive. Any one please help...