I found a question about the programming in GARCH model but I can’t figure out where is the error.
I attempted to simplify the Eviews example files named in “ARCH_t1.prg” to estimate GARCH(1,0) and GARCH(1,1) models (arch_t1_gerus.wf1 and arch_t1_test.prg). I can obtain the same results with the equation object provided by EViews’ default with the program I modified. However, when I applied the same program to the data of Hong-Kong stock returns(hk_test.wf1), I can get the same output with Eviews object in GARCH(1,0) but not GARCH(1,1).
Does anyone know what the problem is? Is the object of Eviews has difference setting with the GARCH(1,1) estimation? For example, the starting coefficient value and variance presample initialization?
The attachments are the workfile and progam that I worked. Many thanks for your help.
can't get the same output with program and equation default.
Moderators: EViews Gareth, EViews Moderator, EViews Jason, EViews Matt
can't get the same output with program and equation default.
- Attachments
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- hk_test.wf1
- (271.7 KiB) Downloaded 224 times
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- arch_t1_test.prg
- (1.85 KiB) Downloaded 298 times
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- arch_t1_gerus.wf1
- (642.77 KiB) Downloaded 222 times
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