EViews.com

ok, now we're getting somewhere.

All you need to do is add the code I provided above, then fetch the numbers back.

Just add these lines to your VBA:

Thank you so much! I think it worked properlly!

I just need one more thing: using the same equation, calculate and then export to Excel the GARCH Variance Series.

One step to heaven! hahahaha...

The EViews command to make the garch series is: You can then bring it back in with the VBA method app.getseries, as outlined in the whitepaper.

Hello! It´s me bothering you again...

Sorry!!! hahahaha

Using the codes I´m using, I´m not calculating the residual serie, is that correct?

I´d like to obtain kurtosis and skewness of the residual series. Is there a way to do that?

Another doubt I have: when running GARCH on Eviews 8, I´m obtaining results that are different than running it on EViews 6. So far, the only difference I could notice is that on EViews 8 the results are obtained after 54 iterations, and on EViews 6 are obtained after 13 iterations, as seen on the file attached.

I´ve checked all the options and did´nt found any configuration differences between those files. Does anybody knows what may be happening?

Thanks again!!!

EViews calculates the residuals automatically. So you don't need to.

Probably just improved algorithms between 6 and 8.

I´m calculating using the VBA code you sent me, like above:

app.Run "equation eq1boi_gordo.ARCH(DERIV=AA) boi_gordo C AR(1)"
app.Run "scalar kurt = @kurt(resid)"
app.Run "scalar skew = @skew(resid)"

Using this, @kurt is 4.702 and @skew is -0.1398.

Calculating manually, I follow these steps:

1) Clik on eq1;
2) Estimate > OK.
3) Proc > Make Residual Series - Select Standard - and then OK.
4) On the residual series (resid01, by default), the kustosis obtainded is 3.800 and skewness is 0.05.

What´s the difference between what I´m doing manually and the VBA?

Thanks!

You're calculating the kurtosis and skewness of the standardised residuals, not the ordinary. Are you sure that's what you want to do?

Yes, I need to calculate from standardized... Is there a way I could change the VBA and insert this parameter?

I think this will be my last doubt... THANK GOD and also THANK GARETH!!! hahahaha

All OK generating GARCH variance series and all stuff, but I´m having trouble with getseries.

The VBA I´m using is the following:

app.Run "eq1cafe.makegarch mygarch"
Set range_garch = Sheets("Dados").Range("O2:O507")
o = app.GetSeries("mygarch")
range_garch = o

What am I doing wrong?

Again, thank you so much!!!

GetSeries returns a 1-dimensional array. I believe Excel Range objects expect a 2-dimensional array.

I would suggest you read our COM Automation documentation located here:
http://www.eviews.com/download/whitepap ... mation.pdf

And pay particular attention to the GetGroup method that returns a 2-dimensional array. Here's an excerpt from Page 5:
Steve

If I have two pages on the same workfile how can I select one of them to get a group?

Pageselect