Please Help! GJR-GARCH(TGARCH)

[ifu06636]

Hi,

I have not used Eviews before and do not have much experience of econometrics packages in general so i hope someone can help me as I am going mad trying to work out what to do here....and Im sure it will be simple enough!
I am trying to estimate a GJR-GARCH model in Eviews 7 for Brazil which is as standard, apart from also including a term for a lag on the error term of a world index into the conditional variance.
Does anyone know how i cant input this into the conditional variance equation, where and how i need to do it?
I have attached the conditional variance term in a word document as i cannot copy it here.
Also in the mean equation box do i need to add anything else apart from the return series for Brazil.

Thanks!

[EViews Glenn]

I may be missing something but don't you just want to add your regressor to the variance equation regressor box?

[ifu06636]

Hi Glenn, Thanks for getting back,

In the variance term for Brazil(and the other countries involved) I wanted to add a lag of the squared residuals of the conditional mean of the world index to measure the impact of the previous day's foreign news on the Brazilian Index. How would I add this into the variance equation and how would i get the residuals to then save and add them into the country variance equation.

[EViews Glenn]

I suppose that this means that I should actually look at the equation :)

Hang on...

Okay, I'm assuming that the world index error is from a different equation. In that case, just estimate the world index equation, save it's residuals using Proc/Make Resids...(say to the series WRES). Then youshould be able to add WRES(-1)^2 to the variance specification Variance regressors edit field.

Unless I'm still missing something...

[ifu06636]

Thanks again for replying, this sounds about right, Ill give it a go tomorrow and reply in the forum! But this sounds like it should work,

Richard