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Hi guys

what is the code to get the degree of freedom of the GARCH equation under t-distribution?

this code does not work.

the quantile I need is used to calculate VaR. how to generate the corresponding degree of freedom?

I am doing the rolling GARCH estimations under t-distribution. So I use this code to generate the quantile to calculate VaR Series dof_{!j}=garch_n_{!j}.@df series sdof=dof_{!j} series quan=@qtdist(0.01,sdof) But I feel very confused that the degree of freedom stored in the series is 994 or 995. The...

Follow the example given by Esther in the following post: http://forums.eviews.com/viewtopic.php?f=15&t=878 Although she is estimating using LS rather than ARCH, the forecasting bit is the same. Hi EViews Gareth Could you please help me to check what the problem is with my code ?The estimation ...

Hi guys :D I am doing rolling GARCH to forecast the conditional variance. I have 2000 observations and the window is 1000, roll is 100. And I will estimate 11 windows. they are 1 1000, 101 1100, 201 1200 and so on. each window will forecast the following 100 observations. But I am very very new to t...