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by ebondo75
Wed Feb 01, 2012 9:49 am
Forum: Estimation
Topic: HOW TO ESTIMATE A SPLINE-GARCH MODEL?
Replies: 0
Views: 2171

HOW TO ESTIMATE A SPLINE-GARCH MODEL?

Hi all, Does anybody know how to implement the spline-garch model introduced by Engle in 2005 with eviews? The model is define as: y = mu + res res~N(0,h_t) h_t=g_t * f_t where g_t= (1-beta_1-beta_2) + beta_1*(res_{t-1}^2)/f_{t-1} + beta_2*g_{t-1} f_t=gamma_0*exp [gamma_1*t + gamma_2*t^2 + Sum (i=1,...

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