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Hi just wanna ask something. Is the result of the GARCH model "nearly the same as the "GARCH-M" ? meaning there's only a slight difference between them? Because it seems, the output of my GARCH-M is just around double of what was the result of my GARCH model. not nearly double....it j...

Hi just wanna ask if what I am doing is correct. In the version 4 of the Eviews, to test the ARCH-LM of a time series data, I just simply type "r c" on the LS-least squares estimation then test the residuals for its ARCH-LM effect? r is the name of the data series. However, in the version ...

hi! for the Hodrick-Prescott filter, may I know what is the multiplier Lamda for daily and weekly data series? thanks : )

Thanks trubador. : )

Hi Trubador, Your are soooooo good. Yes so far, I have done a comparative graph between the "conditional" and the "realized - ala moving average". Trubador, i have an inquiry over the number of days to be used for the moving average. You see, I intend to have an analysis based on...

So you mean to say, to get the realized volatility, I should run a MOVING AVERAGE model on the actual returns to have it and then compare it with the conditional volatility? Thanks.

May I know how to run the moving average model? the one your suggesting? Thanks

Hi, I am also kind of newbie in the GARCH model. My question is, how will you be able to produce a graph, a forecasted graph with the realized volatility below the estimated volatility. Similarly, how can I compute for the MAPE in Eviews? Because, I used the forecast key in the GARCH model? and then...