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Hey forum! I am estimating a GARCH and GJR-GARCH model. I am doing this to test the information content implicit in the price of stock index options. One comparison I want to make, is the case when only one variable (in our case implied volatility) is used to explain the conditional variance process...

Hey forum! I have estimated an bivariate svar with output and another variable. How can I, after fitting in eviews, obtain tthe historical output... basically how can I obtain a measure of potential output to compare to actual output on the same date...

Thanks!

Hey Forum! We are conducting a study on the informational content of implied volatility for the South African economy. In one part, we follow a study by Day and Lewis (1992), in which they include implied volatility (similar to the VIX index) as an exogenous variable in the GARCH model. My question ...