EViews.com

Thanks Trubador. Your reply is extremely appreciated. However, I dont want to estimate a GARCH(1,1) using a state space model. I want to estimate the time varying beta using and AR model while relying on GARCH (1,1) in estimating the volatilities. In other words, is it possible to use the GARCH (1,1...

plz answer me urgently I need to know Am I right in this specification or not???

I`m tried this code:

@signal rlogot= c(1)+sv1*rlogot(-1)+ c(2)*sv2
@state sv2 = c(3) + c(4)*sv2(-1) + [var = exp(c(5))]
@state sv1 = sv1(-1)

Am I right??

Thank you in advance..

Hello everybody,

I'm trying to run estimate state space model for GARCH(1,1)...can you help me in writing the code?

Thank you,
Mido

Hi I am trying to give date specification for daily stock prices. I tried in "dated- Specified by a date series" . Could any one help in this issue. Initially I read the data as undated series and later tried to use the above mentioned option. But I was not ale to get it right. I have the ...