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How to find out if the data displays garch behaviour? Is there any facility in Eviews or excel to find out.

How do i specify alpha and beta values to be less than 1 in eviews while estimation of garch parameters?

How do you specify positive constraint for alpha and beta in eviews?

Can anyone suggest how to set non negative condition while estimation of GARCH parameters so that alpha, beta < 1 and alpha + beta+gamma = 1

I am trying to estimate garch parameters for returns of an index. The index returns are for period of 1 year. The garch parameters are estimated for 2 seperate periods both having 1 year data. Parameters computed by eviews are as under- Period 1 Omega: 0.000113768 Alpha: 0.023693849 Beta: 0.92117683...

Thanks for the info. Can you please send me the equation in excel. I would be really obliged.

For estimation of garch(1,1) parameters how is the initial variance fixed?. Is this value displayed in the output. (2.) What is presample variance in backcasting, the default value set is 0.7. What does this mean?

Hi Jim, Thanks for your help. In the eview software there is a parameter to be set for Restrictions (See the attachment). I am not able to understand if which of the options is to be selected "none" or "Igarch" or "variance target". Please suggest Thanks Regards Onkar

Hi, I am estimating Garch equation for CBOE VIX index values. In this regard i have some questions? 1. Can i take the dependent variable as log returns of VIX? 2. Do i need to set the Restirction to VarianceTarget or None ? 3. Is it correct that by setting restriction to variance target it ensure th...

Hi, Why are you taking 100 times logreturn as dependent variable. Can we not taken only logreturn for computation? Regards ophadnavis How do I determine if my estimated GARCH(1,1) model is well specified? Output: Dependent variable : 100timesLogReturn Mean Equation : ARMA (0, 0) model. No regressor ...