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- Wed Jul 15, 2015 2:35 am
- Forum: Programming
- Topic: Programming GARCH(1,1)
- Replies: 0
- Views: 1247
Programming GARCH(1,1)
Hi, I´ve computed weekly log returns via Eviews8 and estimated the parameters of GARCH(1,1). I would like to predict the returns with the mean equation: r = h(t)^0,5 * white noise and the variance equation: h(t)= gamma + alpha * r(t-1) + beta * h(t-1) Therefore i need to program this equations but I...
