Create a volatility time series from a Return time series

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mvww11
Posts: 1
Joined: Fri Oct 23, 2015 6:09 am

Create a volatility time series from a Return time series

Postby mvww11 » Fri Oct 23, 2015 6:43 am

Hello!
I'm an undergraduate and I'm doing my first work on Econometrics.
I have a Return time series and I'm trying to create a volatility time series from it, using IGARCH model.
How can I do that in EVIEWS?

Thanks for your time!
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trubador
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Posts: 1520
Joined: Thu Nov 20, 2008 12:04 pm

Re: Create a volatility time series from a Return time serie

Postby trubador » Fri Oct 23, 2015 7:08 am

Assuming you have already studied GARCH methodology, you can look at EViews help for the subject: http://www.eviews.com/help/helpintro.ht ... 035.3.html

Other than that, you can always search the forum itself for examples or similar queries.
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