Alternative measure for volatility
Posted: Sat Jul 26, 2014 4:44 pm
Dear All
I'm doing a little research using GARCH model and have a question about volatility estimation. In the conditional variance equation we have a lagged variance (Ht-1), right? So, Eviews somehow calculates it for GARCH; as I assumed, based on returns series (for example), which we provide, through the mean equation and the usual variance expression as [E(u)]^2 given the normality assumption. And only then, calculates the conditional variances.
I have 2 questions:
1. Did I understand it right?
2. Can I change the method for variance calculating and "show" to Eviews to use my method, which I want? (when I say method - just another expression)
I'm doing a little research using GARCH model and have a question about volatility estimation. In the conditional variance equation we have a lagged variance (Ht-1), right? So, Eviews somehow calculates it for GARCH; as I assumed, based on returns series (for example), which we provide, through the mean equation and the usual variance expression as [E(u)]^2 given the normality assumption. And only then, calculates the conditional variances.
I have 2 questions:
1. Did I understand it right?
2. Can I change the method for variance calculating and "show" to Eviews to use my method, which I want? (when I say method - just another expression)