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hej hej
i would be really grateful in case somebody can help me with some hints about how can I plot the long run component and the short run component of a CGARCH.

Thank u all

Once you estimate the CGARCH model, you can save conditional variance and permanent (or long run) component via clicking "Proc/Make GARCH Variance Series". Short run component is simply the difference between conditional variance and the permanent component.

thanks a lot trubador, I succeed to make the conditional variance series, but I do not know how to do the permanent component :(

Unless you enter a name for the "Permanent Component" box, it will not save the series. Please see the picture attached.

unfortunatelly i do not have this screen when select "Make garch variance"...i think it's because of Eviews, I'm using Eviews 5.
Lots of thanks for u help.

trubador pls I need you help in this,
I'm analysing the volatility with 4 garch models and then VECM for long run relations between markets. What i do not understand is the connection between the first part of the article and the second part, I mean I should introduce the short run relations from CGARCH in VEC...or how else I can make connections between these?

Thank you for you time and u'r extreme helpful answers

Could you please cite the article you mention?

I think I manage to attached the file. The name of the article is
"Volatility and Long Term Relations in
Equity Markets: Empirical Evidence
from Germany, Switzerland, and the UK"
by Guidi, Francesco.

thank you so much for your support

It seems two parts are actually independent of each other empirically. Author preferred to analyse the volatility in markets in a univariate (but detailed) framework unlike the returns, where he built a vector error correction model. Of course, a multivariate GARCH analysis would also be helpful in analysing the interaction between the markets (simultaneously in terms of returns and conditional variances), author followed a more complementary approach and decided to analyse the relationship between returns in a longer term framework. So everything seems fine...

thank a lot for everything, it helps a lot
do u think makes sense to introduce the long-run component of CGARCH in VECM?

Joint estimation of conditional variances and returns in a multivariate framework will be better. As long as you are aware of the fact that you are following a two-step approach, it will not be a problem. You should take into account this difference when interpereting your results.

Lots of thanks for your help trubador