negative values in Garch/Arch model

[irulishka]

Hello.
Which methods do you use for Garch/Arch model negative values calculation?

Ira.

[EViews Glenn]

I'm afraid that I don't understand the question.

[irulishka]

Sorry for the confusion. I meant backcast initial variances for GARCH, which are used to compute the log-likelihood function. For the model GARCH(1,1) we need only sigma_0 and epsilon_0 and there is formula 7.14 (EViews 7 Users Guide II, Chapter 7. ARCH and GARCH Estimation) to compute them.

But what about GARCH models of higher orders? In order to compute the log-likelihood function we need to know residuals and conditional variances with negative indices, do we use the same formula to compute them as the formula for sigma_0 and epsilon_0?

[EViews Glenn]

The presample values are all set to sigma^2_0.

[irulishka]

thank you