ccc garch model
Posted: Wed Jul 29, 2015 8:21 am
'EV9 20150723 x86
data file http://forums.eviews.com/download/file.php?id=3371
note that in the first part of the output of bg.arch, the following parts come up twice
Estimation settings: tol=0.00010, derivs=analytic
Initial Values: C(1)=9.35833, C(2)=9.22667, C(3)=171.118,
and questions
1 Is there any way to restrict the coefs in the individual variance equation to be positive? in this example, C(5) and C(8) are negative, such that the forecast variance GARCH2 is negative.
2 the coefs of eqf and eqs, are far away from those in GARCH1 and GARCH2
Code: Select all
pageload dsdf.txt
system bg
bg.append df = c(1)
bg.append ds = c(2)
bg.arch(showopts) @ccc c arch(1) garch(1)
' GARCH1 = C(3) + C(4)*RESID1(-1)^2 + C(5)*GARCH1(-1)
' GARCH2 = C(6) + C(7)*RESID2(-1)^2 + C(8)*GARCH2(-1)
' COV1_2 = C(9)*@SQRT(GARCH1*GARCH2)
equation eqf.arch df c
equation eqs.arch ds c
data file http://forums.eviews.com/download/file.php?id=3371
note that in the first part of the output of bg.arch, the following parts come up twice
Estimation settings: tol=0.00010, derivs=analytic
Initial Values: C(1)=9.35833, C(2)=9.22667, C(3)=171.118,
and questions
1 Is there any way to restrict the coefs in the individual variance equation to be positive? in this example, C(5) and C(8) are negative, such that the forecast variance GARCH2 is negative.
2 the coefs of eqf and eqs, are far away from those in GARCH1 and GARCH2