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Alright ill keep that mind. thanks alot!

Hi trubador, Thanks for your reply. If you can see the attached file, it is the OUTPUT I got after running the GARCH(1,1) model. Is it correct to enter volume in both the mean equation and variance equation? or only the variance equation alone? Please see the attached file and let me know. Thank you.

Great thanks alot! really appreciate the help there.
cheers!

Hi, Thanks for your reply. So inorder to compute the OLS for this case would the appropriate code in the OLS estimate box be the following?: log(Volume)=c(1) + c(2)*(returns) + c(3)*dummy*(returns) Please advise if this is the correct manner in which it must be written. Appreciate the help. Keshav

I am trying to draw the relationship between trading volume and unconditional volatility. For this purpose I am using the following equation: log(Vt )= α + β1 Rt^2 + β2 Dt Rt^2 Where, Vt is volume at time 't', Rt is return at time 't' and, Dt = 1 when Rt<0 and D=0 when Rt≥0. For the dummy variable D...

Dear All, I am trying to demonstrate the relationship between volume of trades and stock return volatility. I am using EViews6 for this purpose. My question is: How do I include the varibale log(volume) in the mean equation of my GARCH(1,1) process? I tried the following equation in EViews but I am ...