Search found 3 matches
- Sat Jul 26, 2014 4:44 pm
- Forum: Estimation
- Topic: Alternative measure for volatility
- Replies: 0
- Views: 2182
Alternative measure for volatility
Dear All I'm doing a little research using GARCH model and have a question about volatility estimation. In the conditional variance equation we have a lagged variance (Ht-1), right? So, Eviews somehow calculates it for GARCH; as I assumed, based on returns series (for example), which we provide, thr...
- Mon Dec 16, 2013 9:53 am
- Forum: Econometric Discussions
- Topic: ECM
- Replies: 3
- Views: 5634
Re: ECM
Re: ECM by EViews Gareth on Mon Dec 16, 2013 10:26 am I'm afraid I don't follow the question. Ok, sorry. Let me explain. I want to create the Error Correction Model in EViews. I have the spot and futures returns. It's already tested for unit roots and had cointegration. So, ECM can be created. But m...
- Mon Dec 16, 2013 5:48 am
- Forum: Econometric Discussions
- Topic: ECM
- Replies: 3
- Views: 5634
ECM
Hi everybody
want to create spot and futures returns ecm.
I know that in ordinary case it will be like d(s) d(f) u(-1)
But if I'll take f(-1), so it will be d(s) d(f) d(f(-1)) u(-1)?
or I have to estimate lead-lag model?
want to create spot and futures returns ecm.
I know that in ordinary case it will be like d(s) d(f) u(-1)
But if I'll take f(-1), so it will be d(s) d(f) d(f(-1)) u(-1)?
or I have to estimate lead-lag model?