ah thanks i realise the problem now! I was using log(x) rather than ln(x).
Thanks for your help!
Search found 2 matches
- Thu Jan 29, 2015 2:55 am
- Forum: Estimation
- Topic: Obtain GARCH series from an e-GARCH model
- Replies: 2
- Views: 2357
- Wed Jan 28, 2015 6:02 am
- Forum: Estimation
- Topic: Obtain GARCH series from an e-GARCH model
- Replies: 2
- Views: 2357
Obtain GARCH series from an e-GARCH model
Hi, I'm using Eviews 8 and obtained a GARCH variance series using the following commands: equation onraf.arch(1,1,asy=1,egarch,tdist) d(sonia) d(sonia(-1)) d(sonia(-2)) c dbru dbre dbru(-1) dbre(-1) dbru(-2) dbre(-2) (sonia(-1)-br(-1)) me qe ye pre_bh bh endmp @ me qe ye pre_bh bh endmp onraf.makega...