EViews.com

Posted: **Wed Jan 13, 2016 8:21 am**

Hi !
I'm new on Eviews and I don't know how to program with.
I try to program a model ar(1) garch(1,1), but it doesn't work.
My code is :

Code: Select all

 ' number of experiments
!M = 1000  
!N = 132      ' historical period
!H = 20        ' forecast period

!nn = !n + !h

!k =4 'number of coefficients + ar terms


'Paramètre de AR(1)
!p1 = 0.38

'constant
!B0 = 0

'coeffient for X1
!B1 = 0.07

 'coefficient for X2
!B2 = 1.07  


Workfile TimeSeries u !nn
'declare objects to be used in simulations
equation e1


'run simulations
for !sim=1 to !m

'create error term
series u = nrnd
smpl  @first+2 @last
series u = !B2*nrnd^2 + !B1*u(-1)

'create y series
series y= nrnd
smpl  @first+2 @last
series y =!B1*y(-1) + u(!sim)

'estimate equation
'smpl @first !n
'e1.arch y  x1 x2 ar(1)

'make forecast
'smpl !n+1 @last
'e1.forecast yf
next

Thanks you for your help :D

Posted: **Wed Jan 13, 2016 8:38 am**

What doesn't work?

Posted: **Wed Jan 13, 2016 9:46 am**

When I run, the values of Y are : "NA"

Posted: **Wed Jan 13, 2016 9:55 am**

Code: Select all


smpl @first @first
series y= nrnd
smpl  @first+1 @last
series y =!B1*y(-1) + u

Probably want it like that.

Posted: **Wed Jan 13, 2016 12:30 pm**

It's give me the first value of Y, but not the other

Posted: **Wed Jan 13, 2016 12:37 pm**

Probably need to set the sample correctly when generating U too.

Posted: **Wed Jan 13, 2016 12:55 pm**

The values of U are corrects and generating. I don't understand why it's work with U but not with Y

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