LR test of GARCH 1.1 including a exogenous variable
Posted: Fri Feb 25, 2011 5:08 am
Hi im a beginner of eviews. In my thesis i want to perform a likelihood ratio test of a GRACH (1.1) model including an exogenous variable of impiled volatility(IV) .
The unconstrained model (L0) im using is the one mentioned earlier (GARCH (1.1) IV model), and the constrained one (L1) is the GARCH (1.1) IV model assuming that the ARCH and the GARCH terms is 0. Hence to constrained version assumes that the volatility today, is explained only by the impled volatility from yesterday.
Any information would be helpfull!
The unconstrained model (L0) im using is the one mentioned earlier (GARCH (1.1) IV model), and the constrained one (L1) is the GARCH (1.1) IV model assuming that the ARCH and the GARCH terms is 0. Hence to constrained version assumes that the volatility today, is explained only by the impled volatility from yesterday.
Any information would be helpfull!