STCC-GARCH model question
Posted: Tue Aug 03, 2010 6:30 am
Hello,
I am estimating STCC-GARCH model in Eviews. Firstly, I estimate the M-GARCH, then the correlation and then the STCC-GARCG correlation based on a transition variable. I have the following code: rho12= c(1) + c(2)*(1-@logit(c(3)*(st-c(4))))*rho12(-1) + c(5)*@logit(c(3)*(st-c(4))))*rho12(-1)
In the end, the code does not work. I would like to ask if there are any available codes for estimating the transition (logistic) function and the STCC-GARCH for Eviews.
Thank you in advance,
Cristina
I am estimating STCC-GARCH model in Eviews. Firstly, I estimate the M-GARCH, then the correlation and then the STCC-GARCG correlation based on a transition variable. I have the following code: rho12= c(1) + c(2)*(1-@logit(c(3)*(st-c(4))))*rho12(-1) + c(5)*@logit(c(3)*(st-c(4))))*rho12(-1)
In the end, the code does not work. I would like to ask if there are any available codes for estimating the transition (logistic) function and the STCC-GARCH for Eviews.
Thank you in advance,
Cristina