Search found 2 matches
- Wed Jun 23, 2021 11:44 am
- Forum: Econometric Discussions
- Topic: Estimation of time series using a GARCH model
- Replies: 1
- Views: 10590
Re: Estimation of time series using a GARCH model
Hello! Firstly I should mention that I am new to both Eviews and GARCH models. Anyway, I am conducting some research into the effect that different macroeconomic factors have had on stock volatility from 2009 until 2020. Is there any way to include these macroeconomic time series when estimating th...
- Wed Jun 23, 2021 11:32 am
- Forum: Programming
- Topic: programming MLE using data series at different frequencies
- Replies: 9
- Views: 24271
Re: programming MLE using data series at different frequencies
Hi. I've used R to run a GARCH MIDAS estimation. However, seems to have problems if I bring in data with monthly and weekly for daily volatility series estimation. Were you able to get GARCH MIDAS to run on Eviews? If so would you be willing to share it? Do Eviews developers plan to expand the exis...