GARCH Model Depending Only On Logged Implied Vol

[DJM]

Hi Guys!

I am estimating a GARCH(1,1) model and it has an additional variance regressor. I want to obtain the likelihood ratio value when there are no ARCH or GARCH terms - so I only have the implied volatility appearing in the variance regressor.

However, when I set ARCH and GARCH to zero I get "must include one ARCH or GARCH term in specification."

I am using Eviews 7 and was hoping for some guidance, just a hint in the right direction. I had a quick search and couldn't find any responses to such a query. Any help would be greatly appreciated.

Best,

DJM

[DJM]

I am extremely new to this programme so if I am making an obvious mistake please let me know. Is what I have mentioned above even possible?

Thanks,

DJM

[trubador]

You should write your own GARCH estimation procedure via LogL object, since the dialog box will not let you skip (G)ARCH specifications. There are several examples in the Sample Programs folder in EViews.

[DJM]

Thank you very much. I will proceed as advised.

Best,

DJM