Problems with estimating Realized GARCH

[evaeva]

Hi,
I am trying to estimate Realized GARCH by Peter Hansen (2011), but have some problems with it - please see the attachment with description. I am using Eviews 6.

I would be very grateful if you could help me. Thank you very much in advance!

Eva

[trubador]

It seems you have correctly specified the model. It is hard to tell what is wrong going on with the model without seeing your data. It would be helpful, if you can post your workfile that contains the data. That said, you can first estimate a garch model to gain insight into domain of your model's parameters.

[evaeva]

Hi,
thank you for the answer. I attach the initial workfile (realized_garch.wf1) with only two variable "x" and "r" and then the code and then the resulting workfile (realized_garch_results.zip).

Many thanks!
Eva

[trubador]

I modified the following section so as to get initial values from regular garch estimation. You can delete unnecessary output once you decide which ones to keep.

Code: Select all

'declaration of coefficient vectors to use in RealGARCH likelihood equation init.arch(1,1) r @ x(-1) init.makegarch h0 series z0 = r/@sqrt(h0) equation ols.ls x c h0 z0 (z0^2-1) coef(1) omega = init.@coefs(1) coef(1) beta = init.@coefs(3) coef(1) gamma = init.@coefs(4) coef(1) xi = ols.@coefs(1) coef(1) phi = ols.@coefs(2) coef(2) tau tau(1) = ols.@coefs(1) tau(2) = ols.@coefs(2) coef(1) sigma=ols.@se^2