Range based EGARCH

[EoinM]

Hi All,

I'm new to Eviews programming but am currently writing an MSc thesis on range based EGARCH, ie. using the daily high/low range to calculate volatility.

I will use a one factor EGARCH model with the range based data to produce estimates and forecasts where the likelihood estimate is:
D^t~N[.43+lnh_t^2,〖.29〗^2]
With conditional volatility ht, that changes from one day to the next according to:
lnh_t-〖lnh〗_(t-1)=k(θ-lnh_(t-1) )+∅X_(t-1)^D+δR_(t-1)/h_(t-1)
Where the innovation is a standardised deviation of the log range from its expected value
X_(t-1)^D=(D_(t-1)-.43-lnh_(t-1))/.29

θ is the long run, mean of the volatility process, k is the speed of mean reversion, ϕ measures the sensitivity to lagged absolute returns and δ is an asymmetry parameter that allows volatility to be affected differently by positive and negative lagged returns. As range does not reflect the direction of the price movements, it is still necessary to use lagged returns in the above formula to generate volatility asymmetry.

Is there anyone out there who can help me with the coding??

Thanks

Eoin