STCC-GARCH model question

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

cristinacain
Posts: 1
Joined: Mon Aug 02, 2010 7:53 am

STCC-GARCH model question

Postby cristinacain » Tue Aug 03, 2010 6:30 am

Hello,

I am estimating STCC-GARCH model in Eviews. Firstly, I estimate the M-GARCH, then the correlation and then the STCC-GARCG correlation based on a transition variable. I have the following code: rho12= c(1) + c(2)*(1-@logit(c(3)*(st-c(4))))*rho12(-1) + c(5)*@logit(c(3)*(st-c(4))))*rho12(-1)

In the end, the code does not work. I would like to ask if there are any available codes for estimating the transition (logistic) function and the STCC-GARCH for Eviews.

Thank you in advance,

Cristina

Return to “Estimation”

Who is online

Users browsing this forum: No registered users and 2 guests