EGARCH

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panagioti9
Posts: 3
Joined: Thu Jul 31, 2014 11:41 am

EGARCH

Postby panagioti9 » Thu Jul 31, 2014 12:12 pm

Hello guys I am a new user and I want your help.

I have a spot index ($/day) and I calculated the rate of return (dlog). I want to estimate the volatility with EGARCH. Here are my results


Included observations: 2908
Convergence achieved after 123 iterations
Presample variance: backcast (parameter = 0.7)
LOG(GARCH) = C(2) + C(3)*ABS(RESID(-1)/@SQRT(GARCH(-1))) + C(4)
*RESID(-1)/@SQRT(GARCH(-1)) + C(5)*LOG(GARCH(-1))

Variable Coefficient Std. Error z-Statistic Prob.

C 0.0004297350466449088 0.000202346383160977 2.12375946597984 0.03369026202998032

Variance Equation

C(2) -1.4047755229433 0.02530329773168848 -55.51748779306484 0
C(3) 1.235977990056288 0.01916503230791761 64.49130740811071 0
C(4) -0.3473887831400463 0.01265465799082635 -27.45145569258974 6.675088381607806e-166
C(5) 0.9195120129402056 0.003176261955562342 289.4950182965657 0

But I do not know where i can find the volatility.
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: EGARCH

Postby EViews Gareth » Thu Jul 31, 2014 1:30 pm

View->GARCH graph
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panagioti9
Posts: 3
Joined: Thu Jul 31, 2014 11:41 am

Re: EGARCH

Postby panagioti9 » Thu Jul 31, 2014 2:29 pm

Thank you a lot. So I cannot find just a number of the volatility?
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: EGARCH

Postby EViews Gareth » Thu Jul 31, 2014 2:30 pm

Proc->Make GARCH Variance Series.
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