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Estimation of time series using a GARCH model

Posted: Wed Feb 10, 2021 6:32 am
by lei12

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,