TGARCH - PARCH equation estimation

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gfabiat
Posts: 1
Joined: Wed Jan 02, 2013 4:54 am

TGARCH - PARCH equation estimation

Postby gfabiat » Wed Jan 02, 2013 5:02 am

Hello mates... I am in need of your help
I am trying to estimate VaR for some stocks for an assignment and i do not Know how am i programming the models. For example,
the garch(1,1) with gaussian distribution is like this:
"equation eq.arch(1,1,m=200,h, c=0.001)"
what is the equivalent for a tgarch(1,1) / parch(1,1,1)...??????

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
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Joined: Tue Sep 16, 2008 5:38 pm

Re: TGARCH - PARCH equation estimation

Postby EViews Gareth » Wed Jan 02, 2013 8:44 am

If you look up ARCH in the Equation section of Chapter 1 of the Object Reference, you'll see all of the options listed.


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