EViews.com

Awesome - thanks.

Hi, I am using the returns of a stock market index by examining the returns on given days of the week (monday to friday), and I would like to complete a 1 step rolling forecast (egarch with GED dist) to forecast the volatility for the last year in my sample (2011). I found a code on the eviews forum...

Hm, thanks for that. So in my full sample I have used GARCH (2, 2) in addition to the ar(1) term to tackle both autocorrelation and the arch effect. What are the implications of this model in contrast to those of GARCH (1, 1). I cant seem to find a great deal of information on higher order models on...

You might try allowing for higher-order GARCH effects. But I'm not sure why it's terribly important to get the variance equation exactly right. I guess it depends on what you're trying to do with it. How do I allow for higher-order GARCH effects? It is needed to be correct to make sure that the int...

ok Thanks, so how do i go about removing the ARCH effect from the data?

I see so am I best to follow the DW stat? Also, what about the ARCH effect?

Significant values in the correlogram of Q statistics

Hi Please see the attachment. The file contains NASDAQ 100 stock market returns, where there are dummy variables to indicate each day of the week from monday to friday, where the objective is to find anomalous behaviour, i.e. days which exhibit abnormal returns. However, unlike my UK data, the US da...

Hmm, so I tried what you did on my university computer and it worked! It picked up the dates from excel, and the output was the same and it picked up the date values.

Will test out my full sample data now.

Thanks!

What are you doing in EViews? Neither of those workfiles are structured by date? Is there a reason why? Just as an FYI, I put your two sets of data from Excel into EViews (just by copying the entire block and pasting as a new workfile) and estimated the specification you gave above as GARCH, and go...

What are you doing in EViews? Neither of those workfiles are structured by date? Is there a reason why? Just as an FYI, I put your two sets of data from Excel into EViews (just by copying the entire block and pasting as a new workfile) and estimated the specification you gave above as GARCH, and go...

I have uploaded both sets of data in workfile form. Also what I am doing is looking at the returns for the FTSE 100 and examining the daily market anomalies (i.e. Friday effect where returns on friday are significantly higher than those of the other days). However, when I sorted the data in excel th...

So I'm currently using an out of date Eviews 6, although I have tested this on an up to date Eviews 7 at university, and get the same effect. I have attached a sample which shows two sets of 300 stock observations with their arithmetic returns and dummy variables to signify each day of the week, whe...