EViews.com

It is not possible to obtain alpha for each month if you have only monthly observations. What you can do is obtain daily observations, then run the regression for each month separately, and obtain monthly alpha this way.

I would like to import data from very popular Kenneth French's data library: http://mba.tuck.dartmouth.edu/pages/faculty/ken.french/data_library.html#Research for example "Fama/French 3 Factors", "Fama/French 3 Factors [Daily]" etc. If I use command wfopen filename, then the data...

here is original file + workfile after wfopen

Hi, I have two files. First file is vixvx.csv file like this: Date,Time,Open,High,Low,Close,Volume,Tick Count 2012/07/02,07:01,19.00,19.00,18.90,18.90,242,7 2012/07/02,07:02,18.85,18.90,18.85,18.85,54,11 2012/07/02,07:03,18.90,18.90,18.90,18.90,279,13 I simple use wfopen vixvx.csv and everything wor...

I wand to analyze several stock indices. they are together in one csv file which I can import to eviews. So all those data are in one page. I want to estimate garch model, but there are some missing observations due to trading day. Since trading day differe for different countries, I need to deal wi...

Hi, my problem is related to the fact that trading days are different in different countries. Therefore I would like to import different indices on different pages. Something like this: wfopen index1.csv scalar n=3 'number of indices (files) for !j=2 to n pagecreate(page=index{!j}) u 3933 import ind...

Hi,
I do not think that you are right. The error message says that what failed was just forecasting, not estimation itself. And indeed, when you delete from the code the lines for forecasting, the code works, there is no error message.

please tell me what the problem is (and eventually fix it)

Hi, I would like to do a rolling window forecast with EGARCH model. The following code: wfopen 28.csv series logr = dlog(abs(prc)/cfacpr) series true_vol = logr^2 series forecasted_garch4 scalar estimation_window = 400 scalar length = @obsrange for !i=estimation_window to length-2 smpl @first+!i-est...

Hi Gareth, great explanation, thank you. It's really pity that command reference is not written this way. Could you please should how to do the same steps using Eviews programming language? In my case I have a file with daily data. I can use wfopen 1.csv to open this file as a new workfile. Afterwar...

Hi, thank you for fixing previous problems. However, now I have a major one. GARCH(1,1) model in eviews sometiems predicts negative volatility. This ovviously does not make any sense. I believe that the problem is in the optimisation routine, which probably does not inclode neccesary restrictions. I...

Hi, in addition to previous unsolved problem, I have additional one: estimation of the PARCH model with GED distributed errors does not work. This simple code: wfopen 6.csv genr logr = dlog(abs(prc)/cfacpr) equation eq.ARCH(parch,ged) logr yields this error message: "Attempt to raise a negative...

Dear Gareth, I have problem estimating GARCH model with exogeneous variable in the variance equation. The code is again very simple: wfopen 2.csv series park = (log(askhi/bidlo))^2/(4*log(2)) series logr = dlog(abs(prc)/cfacpr) scalar length = @obsrange scalar estimation_window = 200 for !i=estimati...

Hi Gareth,
in this case, is it possible to impose this restriction (omega>=0) in eviews?

thank
Peter

Hi Gareth, I have another problem related to GARCH models. I believe that there should be some restrictions regarding the coefficients, e.g. all the estimated coefficients in the standard GARCH(1,1) should be positive. This seemts to work. However, when I try to estimate GARCH(0,1) with exogenous va...

Hi, when I try to estimate a PARCH model (GARCH model with option PARCH), I get the following error message: "Attempt to raise a negative number to a non integer power in "EQUATION PERCEQ.ARCH(1,1,PARCH) PERCR. The data file is addtached, the code itself is very simple: wfopen 6.csv genr l...