Generating conditional variance using ARCH & GARCH models
Posted: Fri May 19, 2023 9:38 am
Hi, There
i am using panel data to estimate the effect of fiscal policy on output volatility. I want to estimate output volatility/conditional variance using the Arch/Garch models instead of using the usual rolling standard deviation of GDP. When i estimate the conditional variance with GDP as an input in ARCH/GARCH using Eviews, i do not win. Most of the Youtube tutorials are on Time Series data and NOT on panel data for GARCH models. How can i generate conditional variance using panel data on Eviews? please help.
regards,
Khethang
i am using panel data to estimate the effect of fiscal policy on output volatility. I want to estimate output volatility/conditional variance using the Arch/Garch models instead of using the usual rolling standard deviation of GDP. When i estimate the conditional variance with GDP as an input in ARCH/GARCH using Eviews, i do not win. Most of the Youtube tutorials are on Time Series data and NOT on panel data for GARCH models. How can i generate conditional variance using panel data on Eviews? please help.
regards,
Khethang