Starting values in Univariate GARCH models

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.

Moderators: EViews Gareth, EViews Moderator

Post Reply
tompan
Posts: 6
Joined: Mon Jul 11, 2011 7:40 am

Starting values in Univariate GARCH models

Postby tompan » Wed Jan 25, 2012 1:49 pm

Dear all
I have a question about the starting coefficient values of the iterative process in a univariate GARCH model.The manual does not provide sufficient information about this topic.
What does the OLS/TSLS value indication option mean?
What happens if i select another option such as 0.8* OLS/TSLS , 0.5* OLS/TSLS, 0.3* OLS/TSLS, or zero?
How this alternative selection of starting value would change my results?

Regards
tom
Top
EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13583
Joined: Tue Sep 16, 2008 5:38 pm

Re: Starting values in Univariate GARCH models

Postby EViews Gareth » Wed Jan 25, 2012 2:17 pm

I think it is somewhat self explanatory. Ordinary Least Squares is performed first of all to generate a set of coefficients. These are then used as starting values. If you select the 0.8*OLS option, then they are multiplied by 0.8 before using them as starting values.
Top
tompan
Posts: 6
Joined: Mon Jul 11, 2011 7:40 am

Re: Starting values in Univariate GARCH models

Postby tompan » Thu Jan 26, 2012 3:20 am

I guess im fully covered
Thanks for the reply
Regards
Thomas
Top
Post Reply

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 1 guest