Hello,
I am new to GARCH models in Eviews and I can't figure out how two perform two things:
- How can I do a parameters constancy test for a GARCH(1,1) model? I tried to find the Stability tests after I ran the equation but there was no sign of it.
- If I am writing code, how can I access the coefficients related to the variance equation? I mean if I write c(1) I get the constant of the mean equation and so on, but what is the syntax to get the variance coefficients?
Thank you!
Constancy of parameters in a GARCH
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EViews Gareth
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Re: Constancy of parameters in a GARCH
There is no constancy test for GARCH built in.
You can use the C vector for the variance parameters too.
You can use the C vector for the variance parameters too.
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