Search found 1 match
- Fri Aug 07, 2015 1:21 am
- Forum: Estimation
- Topic: Garch, Kalman Filter estimation
- Replies: 0
- Views: 1712
Garch, Kalman Filter estimation
Dear Eviews Users, I need to estimate the following equation, with time varying betas: Rt=B0t+B1*Rt-1+dht+et ht=a0+a1*e^2t-1 +a2*ht-1 B1t=B1t-1+v1t B2t=B2t-1+v2t I have read it is highly complicated to estimate using EViews as this is a non-linear model using sspace. Is this true? Any advice would b...