AGARCH Parameters estimation

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DANON
Posts: 3
Joined: Fri Jan 27, 2012 8:58 am

AGARCH Parameters estimation

Postby DANON » Mon Jan 30, 2012 5:53 am

Hi All,

Can anyone show how to estimate parameters for AGARCH please.
(constant, arch, garch and leverage)
Regards
Danon
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DANON
Posts: 3
Joined: Fri Jan 27, 2012 8:58 am

Re: AGARCH Parameters estimation

Postby DANON » Mon Jan 30, 2012 5:54 am

Sorry but I forgot to mention that I am using Eviews 7.

Thanks

Danon
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EViews Gareth
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Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: AGARCH Parameters estimation

Postby EViews Gareth » Mon Jan 30, 2012 8:44 am

AGARCH is not built into EViews. You'll have to program it via a logl object.
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DANON
Posts: 3
Joined: Fri Jan 27, 2012 8:58 am

Re: AGARCH Parameters estimation

Postby DANON » Tue Jan 31, 2012 4:18 am

Thanks a lot Gareth,
I would appreciate should you have any idea on log-likelihood programme codes for AGARCH.
Regards
Danon
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