Estimation of time series using a GARCH model

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lei12
Posts: 1
Joined: Wed Feb 10, 2021 6:26 am

Estimation of time series using a GARCH model

Postby lei12 » Wed Feb 10, 2021 6:32 am

Hello!

Firstly I should mention that I am new to both Eviews and GARCH models.

Anyway, I am conducting some research into the effect that different macroeconomic factors have had on stock volatility from 2009 until 2020. Is there any way to include these macroeconomic time series when estimating the GARCH equation?

For example, say I am looking at the volatility of the S&P 500 and my macroeconomic variable is unemployment in America, how would I go about estimating this equation?

Thank you in advance,
L

flower2310
Posts: 2
Joined: Wed Jun 23, 2021 9:31 am

Re: Estimation of time series using a GARCH model

Postby flower2310 » Wed Jun 23, 2021 11:44 am

lei12 wrote:Hello!

Firstly I should mention that I am new to both Eviews and GARCH models.

Anyway, I am conducting some research into the effect that different macroeconomic factors have had on stock volatility from 2009 until 2020. Is there any way to include these macroeconomic time series when estimating the GARCH equation?

For example, say I am looking at the volatility of the S&P 500 and my macroeconomic variable is unemployment in America, how would I go about estimating this equation?

Thank you in advance,
L


I'm also interested in doing something similar, but I would use accounting information.


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