GARCH model with filter
Posted: Sat Aug 15, 2009 8:34 pm
Dear All,
I need to do a GARCH model with filter. Does anyone know how I could filter the GARCH model in eview?
The equations are:
rt= C=Ft εt where εtI ϕt-1 ~N(0,h)
Ft=(1+ρ1 It)(1+ρ2 It-1) (1+ρ3 It+1)
ht= ω+αε^2 t-1+βh t-1 +γ^- t-1ε^2 t-1
Many thanks
I need to do a GARCH model with filter. Does anyone know how I could filter the GARCH model in eview?
The equations are:
rt= C=Ft εt where εtI ϕt-1 ~N(0,h)
Ft=(1+ρ1 It)(1+ρ2 It-1) (1+ρ3 It+1)
ht= ω+αε^2 t-1+βh t-1 +γ^- t-1ε^2 t-1
Many thanks