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how to create a series follows ARCH/GARCH process

Posted: Mon Dec 28, 2020 10:30 pm

by tony

Hi, there.
Say, I want to create an ARCH model, y=vh, h^2=1+0.8y(-1)^2.
Then, how to do that?
Thanks.

Tony

Re: how to create a series follows ARCH/GARCH process

Posted: Tue Dec 29, 2020 9:00 am

by EViews Gareth

Take a look at the TSDGP add-in.