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- Tue Sep 08, 2015 6:42 am
- Forum: Econometric Discussions
- Topic: GARCH system. Using stock prices to estimate default prob
- Replies: 0
- Views: 1765
GARCH system. Using stock prices to estimate default prob
Hi, I need help on running the GARCH system in Eviews. I'm working on a model using stock prices to estimate default probability. Here's the model: Rit = λt E(εmt, vit) + RFt + vit (15) --> Returns on assets/liabilities of company i at time t (using CAPM) Rmt = λt E(ε2mt) + RFt + εmt (16) --> Return...