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How to estimate tvp-GARCH-M

Posted: Wed Oct 12, 2016 9:42 am

by tost123

Hi,
I wanna know how to estimate time-varying parameter GARCH-M model（tvp-GARCH-M）?
Thanks a lot!

Re: How to estimate tvp-GARCH-M

Posted: Wed Oct 12, 2016 9:47 am

by tost123

There is a post in the forums,but it doesn't the answer,http://forums.eviews.com/viewtopic.php?f=4&t=2711#p9101

The equation is similar to this.

thanks a lot