Generating conditional variance using ARCH & GARCH models

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Mokoena
Posts: 3
Joined: Wed May 17, 2023 6:24 am

Generating conditional variance using ARCH & GARCH models

Postby Mokoena » Fri May 19, 2023 9:38 am

Hi, There
i am using panel data to estimate the effect of fiscal policy on output volatility. I want to estimate output volatility/conditional variance using the Arch/Garch models instead of using the usual rolling standard deviation of GDP. When i estimate the conditional variance with GDP as an input in ARCH/GARCH using Eviews, i do not win. Most of the Youtube tutorials are on Time Series data and NOT on panel data for GARCH models. How can i generate conditional variance using panel data on Eviews? please help.

regards,
Khethang

EViews Gareth
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Re: Generating conditional variance using ARCH & GARCH models

Postby EViews Gareth » Fri May 19, 2023 9:44 am

EViews does not have built in panel GARCH estimation.
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Mokoena
Posts: 3
Joined: Wed May 17, 2023 6:24 am

Re: Generating conditional variance using ARCH & GARCH models

Postby Mokoena » Fri May 19, 2023 10:12 am

Thanks, Gareth. Much appreciated!


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