Constancy of parameters in a GARCH
Posted: Wed Sep 21, 2016 5:46 pm
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!
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!