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Eviews 6 - ARCH/GARCH Estimation on Panel Data

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Eviews 6 - ARCH/GARCH Estimation on Panel Data

Posted: Mon May 10, 2010 4:04 pm
by snageswa
Hello,

I am using Eviews 6. And I have a panel of 30 stocks by 1500 days. I see that it is not possible to estimate an ARCH/GARCH model on panel data.
Is there a work around this? Or does Eviews 7 have a ARCH/GARCH estimation for unbalanced panel?

Thanks,
Shalini

Re: Eviews 6 - ARCH/GARCH Estimation on Panel Data

Posted: Mon May 10, 2010 4:12 pm
by EViews Gareth
Unfortunately neither EViews 6 or 7 have panel ARCH estimators, nor do I know of a workaround.
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