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- Mon Apr 19, 2010 10:58 am
- Forum: Estimation
- Topic: Stochastic Volatility modelling using Kalman filter
- Replies: 0
- Views: 2047
Stochastic Volatility modelling using Kalman filter
Dear all, I am a new user of Eviews. And I am having problem of solving a state space model using Kalman filter. The model as below: Stdc (β_imt^b) = Stdc (β imt) (1- hmt) Log [ Stdc (β_imt^b) ] = log [Stdc (β imt) ] + log (1- hmt ) Then write it again: Log [ Stdc (β_imt^b) ] = µm + Hmt + vmt Where:...