@trubador
Thanks a lot!
But can you please give me some advices how could I linearize this model? I'm not so good in econometrics, but I really need to estimate this model. Here is my e-mail if this will be needed:
akimov.vn@mail.ru
Best regards!
Search found 2 matches
- Wed May 04, 2011 11:44 pm
- Forum: Estimation
- Topic: GARCH-M (1,1) state space
- Replies: 2
- Views: 2610
- Mon May 02, 2011 8:11 am
- Forum: Estimation
- Topic: GARCH-M (1,1) state space
- Replies: 2
- Views: 2610
GARCH-M (1,1) state space
Hello I need to estimate the following state space GARCH-M (1,1) model: signal: r(t) = c(1 t) + c(2 t)*r(t-1) + h(t) + eps(t), eps~N(0,h(t)) state: h(t) = c(3) + c(4)*h(t-1) + c(5)*(eps(t-1))^2 state: c(i t) = c(i t-1) + v(i t), v(i t)~N(0, (sigma(i))^2), i=1,2 But there is an error in EViews that i...