Estimating state space model for GARCH(1,1)

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.

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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Estimating state space model for GARCH(1,1)

Postby EViews Glenn » Wed Oct 14, 2020 10:22 am

The extended Kalman filter is not supported in EViews.
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zhayin
Posts: 2
Joined: Fri Nov 17, 2023 10:21 pm

Re: Estimating state space model for GARCH(1,1)

Postby zhayin » Mon Jan 15, 2024 10:38 pm

The extended Kalman filter is not supported in EViews.

Dear All,

In the current 13 version of EVIEWS, is it now possible to model nonlinear state space for example Extended Kalman Filter or not?
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Estimating state space model for GARCH(1,1)

Postby EViews Glenn » Wed Jan 24, 2024 2:22 pm

I am sorry, but no.
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Dominschop
Posts: 1
Joined: Sun Aug 11, 2024 3:29 am

Re: Estimating state space model for GARCH(1,1)

Postby Dominschop » Mon Aug 12, 2024 6:53 pm

Dear EViews Developers

Based on this post, it seems that modeling a time-varying GARCH (1,1) or GARCH-M (1,1) is not possible in state space form with the latest EViews to plot the time-varying coefficient. Is it possible to do this in the earlier versions of EViews like MicroTSP software, such as the latest MicroTSP 7 from the early 1990s ?
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