ARMA-EGARTH

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

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AgentRose
Posts: 14
Joined: Sat Apr 02, 2022 7:23 am

ARMA-EGARTH

Postby AgentRose » Tue Apr 19, 2022 5:17 am

How do you do ARMA-Egarth model in Eviews?
Or even PARCH, TARCH, EWMA or GARTH???
I tried doing Quick>Estimation> dlogreturn c ar(1) ma(2), as I have previously identified my arma model as AR(1) and MA(2), however, I keep receiving error messages: ARCH estimation requires a continuous sample? The only N/A I have in the sample may be the first one as I have difference my equation by 1 to make it stationary. I have dealing with log-returns of a stock index at the moment on Eviews 12.

EViews Gareth
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Joined: Tue Sep 16, 2008 5:38 pm

Re: ARMA-EGARTH

Postby EViews Gareth » Tue Apr 19, 2022 7:36 am

I'm guessing you have NAs somewhere.
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