Hi,
I want to analyze the results of a GARCH Model and would like to know the formula used for the AIC in this case of a garch model. Does the AIC posted in the equation output correspond to the mean equation or the variance equation, or else?
Thank you
PS: I am using eviews 7.1
Search found 2 matches
- Thu Mar 03, 2011 10:49 am
- Forum: Econometric Discussions
- Topic: GARCH and AKAIKE Information Criteria
- Replies: 0
- Views: 2310
- Wed Feb 16, 2011 8:19 am
- Forum: Programming
- Topic: command to make GARCH variance series
- Replies: 1
- Views: 2778
command to make GARCH variance series
Hi,
I am using Eviews7.1 (Feb. 10 2011 version). I am writing a program and was wondering if there is a command to make a GARCH variance series. The command to make a .makeresid but I did not find the one to make the variance series.
Any help is appreciated.
I am using Eviews7.1 (Feb. 10 2011 version). I am writing a program and was wondering if there is a command to make a GARCH variance series. The command to make a .makeresid but I did not find the one to make the variance series.
Any help is appreciated.