Search found 2 matches
- Sun Jun 07, 2020 4:57 am
- Forum: Estimation
- Topic: Help with EGARCH volatility estimate
- Replies: 2
- Views: 5652
Re: Help with EGARCH volatility estimate
Thanks Gareth appreciate the help!
- Thu Jun 04, 2020 8:46 am
- Forum: Estimation
- Topic: Help with EGARCH volatility estimate
- Replies: 2
- Views: 5652
Help with EGARCH volatility estimate
Hi All, I was wondering if someone could help me with the below as my Eviews knowledge is relatively limited. What I am trying to achieve is to price SPX (S&P 500) options using volatility estimated by the EGARCH model. I have run the EGARCH (1,1) model on the daily log returns of the index (01/...