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Sorry Gareth, I wasn't very clear at all, regressor not the best word. When you estimate an EGARCH eqaution there are 4 variance coefficients based on Nelson's specification (i.e. C(2) C(3) C(4) C(5). However I want to slightly change one as I'm using range based data instead of return (can't code u...

Hi, Does anyone know if it is possible to remove a regressor from an inbuilt equation. I am trying to remove one regressor from the EGARCH equation and replace is with a slightly different one. I know that a regressor can be added using the variance regressor field in the equation estimation screen ...

Esther,

You are a lifesaver. Thank you for all your help!! It's working perfectly

Eoin

Thanks Esther, I am away from my PC with eviews on it at the moment but I will try this within the hour or two Just to clarify, if I want to specify the equation EQ01, I merely open the equation and this command will run the forecasts based on the equation or do I need to edit the line. Apologies I'...

Hi Esther,

Thanks a million for your response. I'm trying to get the forecasts and the coefficients.

Also, in the code where it says get the equation specification what should I be writing here?

Thanks

Eoin

Hi, I am having some trouble with rolling volatility forecasts. I have a file containing 5053 observations and I have estimated volatility using the EGARCH module included in eviews over the first half of the data. Then I am trying to use that equation (eq01) to do rolling forecasts of varying lengt...

Thanks for your help Gareth.

I have attached screenprints of a step by step of what I'm doing. One more thing. Would I have to code up EGARCH from scratch to do rolling forecasts? Again your help is very much appreciated. I'm trying to write a paper and am a complete beginnner to Eviews and there is no help available in college...

Hi Gareth,

Thanks again for replying

I list C(2) C(3) C(4) C(5). I have tried with adding nothing to this box and get the same results. Can you let me know what you populate this box with and maybe post a sample of your results. Appreciate your help

Thanks
E

data attached

Hi Gareth, Thanks for your reply. I have managed to do some rolling forecasts but only one coefficient has saved down. I would have hoped that all coefficients would be listed The data I am using is spx data from 2002 to 2012 (attached). I have tried two things. First I tried using the standard EGAR...

Hi, I am trying to do some rolling forecasts using EGARCH with the Roll add-in function and am getting the following error message and wondered if someone could give me some direction on how to use it. I keep getting the following error message. I have about 5000 observations and am trying to use th...

Hi All, I'm new to Eviews programming but am currently writing an MSc thesis on range based EGARCH, ie. using the daily high/low range to calculate volatility. I will use a one factor EGARCH model with the range based data to produce estimates and forecasts where the likelihood estimate is: D^t~N[.4...