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Hi Trubador, Tnx. Got the GARCH-M so far. That's the good news. The bad news is I do have a far more complex problem involving component volatility - for which I probably need the Logl object. Do you know anyone who would be willing to help (for reward if asked)? It's for my master thesis. I get the...

Hi Trubador,

Could it be that ar(1) is the correct 'code' for variance(t-1) to enter in the mean equation box? But I can't get Eviews to recognize 0,5*AR(1) as my model would require.

How would you deal with that? Anyone?

Tnx.

First of all, I think you should read the users guide before going any further. Since this is a simple GARCH(1,1)-M model, all you have to do is write "return c" into mean equation as you say and select the "Variance" option from the ARCH-M dropdown menu... Hi Trubador, Tnx for ...

Hi all, I'm using Eviews 7 to estimate GARCH-in-mean volatility over a time series of log returns on Dutch markets. This is my model: return = c1 - 0.5*variance(t) + error(t) variance = c2 + c3*variance(t-1) + c4*error^2(t-1) with error~N(0,sigma^2) My question: what do I enter in the mean equation ...