Search found 2 matches
- Wed Jul 28, 2010 8:34 pm
- Forum: Estimation
- Topic: How to estimate tvp-GARCH-M
- Replies: 3
- Views: 4864
Re: How to estimate tvp-GARCH-M
thank you for your reply. There is a lot I need to learn. At least I should how to use Kalman filter and Logl now,thanks! Estimation of TVP-GARCH-M models requires a modified version of the Kalman filter. Therefore, I do not think you can do it with the State Space Object. Although LogL object is th...
- Sat Jul 24, 2010 2:04 am
- Forum: Estimation
- Topic: How to estimate tvp-GARCH-M
- Replies: 3
- Views: 4864
How to estimate tvp-GARCH-M
Hi, I wanna know how to estimate time-varying parameter GARCH-M model as Ray Chou,Robert F. Engle and Alex Kane,(1991)"NEASURING RISK AVERSION FROW EXCESS RETURNS ON A STOCK INDEX" mentioned. Wether it can be doen by using state space object with Kalman filter, and how can I improve it? Th...