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There are a number of other papers adopted Panel GARCH. For example: Svirydzenka (2010) The Role of the International Investor Mix in the Stock Market Stability Lee (2009) The link between output growth and volatility: Evidence from a GARCH model with panel data Curado and Rocha () INFLATION TARGETI...

For example, PP-GARCH
Cermeño, R., Grier, K.B., 2006. Conditional heteroskedasticity and cross-sectional dependence in panel data: an empirical study of inflation uncertainty in the G7 countries. In: Baltagi, B.H. (Ed.), Panel Data Econometrics, vol. 10. Elsevier, New York, pp. 259–278. Chapter

I found the problem myself. The OLS estimator simply made the conditional variance series move too wildly. So I changed the starting value of the coefficients to one of the individuals' estimation result and eliminated some of the outliers in the data (I have 17 countries in the panel. Outliers are ...

Btw, I am using EViews 6, if this makes any difference.

Hi, This is the first time I post here. The forum has been greatly helpful for me in terms of EViews usage and programming. Hopefully my questions can be solved here and the post can provide useful information to other users. I am working on a research project studying the relationship between excha...