Hello,
I would like to estimate the EGARCH-in-mean model. However, the standard deviation term in the mean takes a nonstandard form like standard deviation multiplied by a dummy variable. Could anyone help me to find the way for this with the Eviews commands.
Thanks,
Akram
Search found 2 matches
- Wed Nov 21, 2012 8:23 pm
- Forum: Estimation
- Topic: Univar EGARCH-in-mean with commands
- Replies: 0
- Views: 1428
- Fri Jun 10, 2011 3:07 am
- Forum: Programming
- Topic: News Impact Curve
- Replies: 3
- Views: 4328
Re: News Impact Curve
Dear Trubador, I have written following code for news impact curves of GARCH and EGARCH following the paper Engle and Ng (1993). Would you please have a look once you are available whether it is OK. Thanks Akram Universiti Putra Malaysia The code is as follows 'change path to program path %path = @r...