GARCH - Rolling Regression

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HJ123
Posts: 3
Joined: Sat Oct 08, 2016 9:17 am

GARCH - Rolling Regression

Postby HJ123 » Thu Nov 10, 2016 6:04 am

Hey there,

I want to run a rolling regression for a GARCH(1,1), mean equation being an ARMA-Process. I use monthly data on US CPI from 1973.01 - 2015.12. I'm using EViews 9.5 Student Version. I executed following codes in chronological order:

'declare series to store the output
series rf
series volf

'set window size
!window = 500

'set step size
!step = 1

'get size of workfile
!length = @obsrange

'declare equation for estimation
equation eq1

'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)

Everytime I want to execute the code for "calculate number of rolls" the error message "!STEP is not defined" pops up. When I execute "!step = 1", EViews tells me !STEP successfully computed, but the error message "!STEP is not defined" keeps popping up when I want to calculate the number of rolls. What am I doing wrong? Thanks for the help!

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

Re: GARCH - Rolling Regression

Postby EViews Gareth » Thu Nov 10, 2016 10:56 am

You cannot do it in the Student Version


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