Estimation of time series using a GARCH model

For econometric discussions not necessarily related to EViews.

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Estimation of time series using a GARCH model

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


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,

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