ARMA-EGARTH
Posted: Tue Apr 19, 2022 5:17 am
How do you do ARMA-Egarth model in Eviews?
Or even PARCH, TARCH, EWMA or GARTH???
I tried doing Quick>Estimation> dlogreturn c ar(1) ma(2), as I have previously identified my arma model as AR(1) and MA(2), however, I keep receiving error messages: ARCH estimation requires a continuous sample? The only N/A I have in the sample may be the first one as I have difference my equation by 1 to make it stationary. I have dealing with log-returns of a stock index at the moment on Eviews 12.
Or even PARCH, TARCH, EWMA or GARTH???
I tried doing Quick>Estimation> dlogreturn c ar(1) ma(2), as I have previously identified my arma model as AR(1) and MA(2), however, I keep receiving error messages: ARCH estimation requires a continuous sample? The only N/A I have in the sample may be the first one as I have difference my equation by 1 to make it stationary. I have dealing with log-returns of a stock index at the moment on Eviews 12.