State Space for time varying GARCH-M (1,1)

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zhayin
Posts: 2
Joined: Fri Nov 17, 2023 10:21 pm

State Space for time varying GARCH-M (1,1)

Postby zhayin » Fri Jan 19, 2024 1:45 am

Dear All

I am trying to know if it is possible to model this time varying GARCH-M (1,1) in State Space form with EVIEWS:

Y(t)=b0+b1*Y(t-1)+b2*h(t)+e(t) : Return Eq.
h(t)=c0+c1*h(t-1)+c2*(et(t-1))^2 :Variance Eq.
b1(t)=b1(t-1)+w1(t) :Random walk b1(t)

I know it is possible in a general program like MATLAB to find time varying random walk coefficient b1(t) as a plot formulated above. I am not sure about EVIEWS capability to do so. It is possible to use extended kalman filter in MATLAB to find time varying coefficient b1(t). Is this possible in EVIEWS in any way or not, any available code is appreciated ?

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