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Hello all After investigating a bit more I realized that I was a bit confused between the static and dynamic forecast. The static is using the t-1 period actual residual for the ht calculation, while the dynamic is using the h(t-1) in place of e(t-1) , so the dynamic ht formula is actually ω+(α+β)*h...

Hello all I am working on some project to evaluate the forecast ability of different GARCH models, but before doing that I have some questions on how Eviews estimates some values when it comes to forecast of volatility. Assume we have some log returns of an index and I estimate a GARCH(1,1) model, w...

I found it..my manual formula had an error. The denominator is (1-R-square) and not purely R-square.

Thank you Startz. Let's ignore the second example I mentioned, since it might complicate the matters. I will provide more details on the issue I have. In the first screenshot below I run a multiple regression, let's consider it as the unrestricted one. The r-square is 0.432632 . What I want then is ...

Hello all I have one question regarding the Wald Test in Eviews. I have the following regression: Y = β1 + β2Χ2 + β3Χ3 + β4Χ4 + β5Χ5 + β6Χ6 +u , and 145 observations . I want to test the hypothesis that β3=β4=β5=β6=0 . When I do manual calculation of F statistic (for 4,139 df) my result is ~2.77 . I...

Thank you all, I'm really grateful for all these replies! i didn't respond earlier due to busy schedule and catching up with other units on econometrics, but I believe this is the answer I was looking for.

I will test it and let you know if that works out!

Hello all I am new to programming with Eviews 10 so I am struggling a bit with the following case. I managed to create a script to run a monte carlo simulation, in order to "prove" the assumptions of OLS estimators. More specifically I use a population function with two given coefficients ...