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Ok, why news variable is signifcant here? News coef. should be compared to C constant in variance equation?

R2 are so close to 0 because they are sq. ln returns of 15 min. on EUR/USD. I'm trying to measure impact of news on volatility (somehow quantative, like news increases volatitility 20% etc). As I don't have any background in stats and econometric, it seems somehow too hard for me for now. As I under...

Can't eviews read file after extraction? First I rarred file because it was too big to upload it here. Here is smaller example.

I just saved this example in eviews as wf1 file and compressed. How can it be not eviews file. It can be opened from eviews menu file - open - eviews workfile.

sorry i put xls, here's eviews file. r are returns and r2 are squared returns. News are dummies [1,0].

Here is simplified example. Still i need to make few corrections in data, but it does not change the point.

It's simple AR(1)-GARCH(1,1) model. I didn't imagine and still don't that it could be so terrible. arma (p,q) with garch(1,1) variance gives the same results - actual=residual. Can both models be so terrible? Is everything ok with spec. in means: R ar(1) R ar(1) ma(1) Maybe I miss something in the m...

I don't expect actual to change. Now residuals = actual. How can it be so? It does not matter if I include news in variance or not, also it does not matter what lags of ar process i use, every time residuals are the same as actual (sometime the is difference about 0,000000001). Aren't residuals what...

I'm doing something wrong. In excel i calculated reruns as R(t)=ln(P(t)/P(t-1)). Column "news": news = 1, no news = 0. In eviews mean equation i write: R ar(1); news included in variance regressors. I get: AR(1) -0.058436 Variance Equation C 1.34E-08 RESID(-1)^2 0.103805 GARCH(-1) 0.792424...

Thanks trubador very much. I think I'm on the right way. One more question about these exogenous variables. I didn't find clear explanation what they are. As I understand they can be like difference between forecasted and actual macroeconomic statement in my case, right? Can they be dummies (1;0)? I...

Hi guys, sorry for my english. I'm complete beginner in time series. I'm trying to measure the impact of macro announcements on volatility. I have ~72000 observations (EUR/USD returns, 5 minute intervals) and ~1000 news, which are in 12 categories. I need to analyze the impact of these categories on...