EViews.com

Hi Trubador I want to include a dummy variable in my model that captures sentiment (also assuming that the errors terms follow the GED). My re-formulated mean equation is as follows: r_t= α_H D_t+ α_L (1-D_t )+ u_H D_t σ_t^2+u_L (1-D_t ) σ_t^2+(γ_0+γ_1 σ_t^2 ) r_(t-1)+ε_t where D_t = 1 in a high sen...

Okay, thank you very much!!!

Thank you for the response. I want to include the "ged" in the code. I tried editing it and running it and it gave me an error "C is not a member or procedure of EQ1 in DOF(1)= EQ1.C(8)". Did l make the correct modifications? I have pasted them below .... ' declare coef vectors t...

Hi Trubador I now want to extend my conditional variance equation to account for a leverage effect using a TGARCH (1,1) specification but l am not sure of how l can modify my code. Do l use the modification below and do l have to add an additional coefficient for it as well? ..... equation eq01.arch...

Got it! Thank you very much for your assistance.

Hi Trubador Thank you very much for your assistance. However, I am still a little confused with regards to assigning a starting value for "dof". I made the changes you highlighted and tried running the code but it gave me an error message "DOF is not defined or is an illegal command i...

Hi Gareth, I came up with a program to estimate a GARCH-M with an additional interaction term (Y(-1)*GARCH). My conditional mean equation is r_t= α+ μ(σ_t^2 )+(γ_0+γ_1 σ_t^2) r_(t-1)+ ε_t and my variance equation is σ_t^2= α_0+ α_1 ε_(t-1)^2+ βσ_(t-1)^2+ δS_(t-1) ε_(t-1)^2. I managed to get some res...