EViews.com

Hello!

I'm new here and I got lots of questions about how to use Eview7. I'm working on my bachelor thesis researching Tail Risk.
The point is that I have the returns and I need to use a VAR model to remove the conditional mean of the returns to have the returns without past information:
rt=mt+zt; with rt the returns, mt the conditional mean and zt the demeaned returns.
Then I have to apply a GJR GARCH(1,1) filter to zt to obtain the corresponding standarized return serie et. rt=sd*et; sd the standard deviation
Now that I got the et (where the tail risk is captured), I need to apply an skewed t-distribution to et, to capture possible asymmetry and excess kurtosis in ei, where I need the degrees of freedom to continue with the investigation.

I've already done this in matlab and I need to use Eviews to compare results. The thing is I'm new here and I need the series of et to continue.

Please somebody help me with this.

Thanks in advance.

Welcome, you are at the right place. You can start by searching the forum and then have a look at EViews Illustrated and manuals. You'll find plenty of examples and learn the commands and features to do those analyses.