how to create a series follows ARCH/GARCH process

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tony
Posts: 59
Joined: Wed Jan 07, 2009 7:59 am

how to create a series follows ARCH/GARCH process

Postby tony » Mon Dec 28, 2020 10:30 pm

Hi, there.
Say, I want to create an ARCH model, y=vh, h^2=1+0.8y(-1)^2.
Then, how to do that?
Thanks.

Tony
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13583
Joined: Tue Sep 16, 2008 5:38 pm

Re: how to create a series follows ARCH/GARCH process

Postby EViews Gareth » Tue Dec 29, 2020 9:00 am

Take a look at the TSDGP add-in.
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