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In order to avoid creating another topic, I will ask here. I need to go GARCH in the model above, so my question is, how can I estimate GARCH(0,0) with particular structure of residuals. The problem is that I can not choose GARCH(0,0); it seems that I have to program it (the meaning of using GARCH i...

Thank you very much, Glenn!

From the suggested path I can do first and second step. Could you, please, comment a bit more on how to do 3? how to obtain weights series from the regression 2?

Dear all, I am a relatively new EViews user (have used it 10 years ago, and have forgotten the most). Could you help me with the advice? I need to estimate the following model: Yt = a + b*x1(t) + c*x2(t)+d*x3(t)*x4(t)+error(t), where Var(error(t)) =u+ (b^2)*z+ ((c+d*x3(t))^2)*w So, variance of error...