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Hello, I am estimating a GARCH(1,1) model and it has an additional variance regressor. I want to obtain the likelihood ratio value when there are no ARCH or GARCH terms - so I only have the implied volatility appearing in the variance regressor. This is my first attempt at programming ever and any g...

Thank you very much. I will proceed as advised.

Best,

DJM

I am extremely new to this programme so if I am making an obvious mistake please let me know. Is what I have mentioned above even possible?

Thanks,

DJM

Hi Guys! I am estimating a GARCH(1,1) model and it has an additional variance regressor. I want to obtain the likelihood ratio value when there are no ARCH or GARCH terms - so I only have the implied volatility appearing in the variance regressor. However, when I set ARCH and GARCH to zero I get &qu...

Thank you! I did that and now I have what I need.

Cheers mate.

Hi, I have a series of daily observations for the Japanese currency after turning these into returns I estimated a GARCH (1,1) model. I then went to equation estimation and my 'sample' was from 07/07/2002 - 7/06/2005 (1095 observations) I then went to proc --> forecast and labelled my forecast serie...