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Re: Estimating state space model for GARCH(1,1)
Posted: Wed Oct 14, 2020 10:22 am
by EViews Glenn
The extended Kalman filter is not supported in EViews.
Re: Estimating state space model for GARCH(1,1)
Posted: Mon Jan 15, 2024 10:38 pm
by zhayin
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?
Re: Estimating state space model for GARCH(1,1)
Posted: Wed Jan 24, 2024 2:22 pm
by EViews Glenn
I am sorry, but no.
Re: Estimating state space model for GARCH(1,1)
Posted: Mon Aug 12, 2024 6:53 pm
by Dominschop
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 ?