rolling GARCH

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Meritas
Posts: 6
Joined: Mon Oct 05, 2009 10:19 am

rolling GARCH

Postby Meritas » Thu Feb 04, 2010 2:36 am

Hi all,

I am looking for a code, taking raw data as input and producing rolling GARCH parameters and forecasts at the chosen window and horizon as vectors.

I have seen some attempts in this forum, but nothing finalized. I am not a programmer yet, but I need the GARCH application for my academic work before I can learn to produce the code myself :/

I would very much appreciate your help.
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EViews Gareth
Fe ddaethom, fe welon, fe amcangyfrifon
Posts: 13586
Joined: Tue Sep 16, 2008 5:38 pm

Re: rolling GARCH

Postby EViews Gareth » Thu Feb 04, 2010 9:03 am

There is no rolling GARCH routine built into EViews. You're going to have to program it. It shouldn't be too difficult, and as you said, there are lots and lots of examples of people doing similar things.
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