Constancy of parameters in a GARCH

For technical questions regarding estimation of single equations, systems, VARs, Factor analysis and State Space Models in EViews. General econometric questions and advice should go in the Econometric Discussions forum.

Moderators: EViews Gareth, EViews Moderator

elnoch
Posts: 18
Joined: Tue Jun 21, 2016 6:54 am

Constancy of parameters in a GARCH

Postby elnoch » Wed Sep 21, 2016 5:46 pm

Hello,

I am new to GARCH models in Eviews and I can't figure out how two perform two things:
- How can I do a parameters constancy test for a GARCH(1,1) model? I tried to find the Stability tests after I ran the equation but there was no sign of it.
- If I am writing code, how can I access the coefficients related to the variance equation? I mean if I write c(1) I get the constant of the mean equation and so on, but what is the syntax to get the variance coefficients?

Thank you!

EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13604
Joined: Tue Sep 16, 2008 5:38 pm

Re: Constancy of parameters in a GARCH

Postby EViews Gareth » Wed Sep 21, 2016 6:27 pm

There is no constancy test for GARCH built in.

You can use the C vector for the variance parameters too.


Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests