GARCH - Rolling Regression
Posted: Thu Nov 10, 2016 6:04 am
Hey there,
I want to run a rolling regression for a GARCH(1,1), mean equation being an ARMA-Process. I use monthly data on US CPI from 1973.01 - 2015.12. I'm using EViews 9.5 Student Version. I executed following codes in chronological order:
'declare series to store the output
series rf
series volf
'set window size
!window = 500
'set step size
!step = 1
'get size of workfile
!length = @obsrange
'declare equation for estimation
equation eq1
'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)
Everytime I want to execute the code for "calculate number of rolls" the error message "!STEP is not defined" pops up. When I execute "!step = 1", EViews tells me !STEP successfully computed, but the error message "!STEP is not defined" keeps popping up when I want to calculate the number of rolls. What am I doing wrong? Thanks for the help!
I want to run a rolling regression for a GARCH(1,1), mean equation being an ARMA-Process. I use monthly data on US CPI from 1973.01 - 2015.12. I'm using EViews 9.5 Student Version. I executed following codes in chronological order:
'declare series to store the output
series rf
series volf
'set window size
!window = 500
'set step size
!step = 1
'get size of workfile
!length = @obsrange
'declare equation for estimation
equation eq1
'calculate number of rolls
!nrolls = @floor((!length-!window)/!step)
Everytime I want to execute the code for "calculate number of rolls" the error message "!STEP is not defined" pops up. When I execute "!step = 1", EViews tells me !STEP successfully computed, but the error message "!STEP is not defined" keeps popping up when I want to calculate the number of rolls. What am I doing wrong? Thanks for the help!