EViews.com

dear sir
please describe more.
thanking you
hogo

hi i am working on egarch and tgarch model.as a decision rule when gamma is negative and significant in egarch model the model detect the leverage effect.in tgarch when gamma is posetive and significant the model is adequatly detect the leverage effect.i was wondering if i could ask you to describe ...

thanks trubador

hi all
why in the egarch model the intercept of variance equation is negative?
regards
hojat

hi sir
thanks a lot trubador.your comments are always helpful.
regards
hojat

thank you, trubador
in garch(1,1) all variance equation are significant but in mean equation ar(4) is insignificant at 5% level of significant.you mean insted of using ARMA(4,1) I should use MA(1) even if the SBC tells the adequacy of ARMA(4,1)? cant we expand the significance level?
thanks again

hi all suppose in mean equation for modeling garch model we come to know that ARMA(4,1) is best fit based on SBIC.then we will estimate several garch model from 0 to 5 orders.suppose among estimated garch model according to SBIC garch(1,1) is best fit for variance equation but one of the coefficient...

daer members
suppose we estimated garch(1,1) and got gamma=0.00014 alph=0.80 and beta=0.17.and again suppose one investor ask us what is the usefulness of this estimated model for me in the reakl world.how can i use it to manage my portfolio.if you know plz reply.
regards
hg

dear members
i read one article about EMH he wrot he used the returns,volatility,residual,and squared residual to test EMH using L-B statistics,BDS test and unit root test. idident understand what he mant by volatility series.if anybody know please help with example.regards
hg

thanks for your kind reply.i am using s-plus to model fiegarch .i read the zivot book.they suggest to use the absoult of returns series.with this i get 0.244 for fraction and using log returns series i get 0.44 for fraction.in both case it is sign of long memory assuming the fiegarch(1,1) is the fit...

dear members
if using eviews we capture the leverage effects in asset series, is it necessary to model FIGARCH for modelling long memory or FIEGARCH is enough?
regards
hojat

HI ALL
How can i plot the news impact curve in eviews simultanously for garch,egarch and tgarch.
rgards
hojat

hi
see the like below
http://perso.fundp.ac.be/~mpetijea/MyEv ... Eviews.htm
hojat

dear fran
i hope the following linke can helpe you.
regards
hojat
http://perso.fundp.ac.be/~mpetijea/MyEv ... Eviews.htm

dear friend
i am also doing ph.d in finance i know how to model EGARCH IN EVIEWS.
PLEASE CONTACT TO MY EMAIL
hg502003@yahoo.com
hojat