Garch, Kalman Filter estimation
Posted: Fri Aug 07, 2015 1:21 am
Dear Eviews Users,
I need to estimate the following equation, with time varying betas:
Rt=B0t+B1*Rt-1+dht+et
ht=a0+a1*e^2t-1 +a2*ht-1
B1t=B1t-1+v1t
B2t=B2t-1+v2t
I have read it is highly complicated to estimate using EViews as this is a non-linear model using sspace. Is this true? Any advice would be appreciated.
If you need any clarification on what I want, please ask !
Thanks a lot in advance!
I need to estimate the following equation, with time varying betas:
Rt=B0t+B1*Rt-1+dht+et
ht=a0+a1*e^2t-1 +a2*ht-1
B1t=B1t-1+v1t
B2t=B2t-1+v2t
I have read it is highly complicated to estimate using EViews as this is a non-linear model using sspace. Is this true? Any advice would be appreciated.
If you need any clarification on what I want, please ask !
Thanks a lot in advance!