GARCH(1,1) example in help file
Posted: Tue Sep 06, 2011 5:22 am
Hi,
Eviews help file provides an example of GARCH(1,1) model of the first difference of log daily S&P 500 (DLOG(SPX)). The sample period is from 1/2/90 to 12/31/1999. So the estimated variance from this model is for 1/2000, right?
Eviews help file provides an example of GARCH(1,1) model of the first difference of log daily S&P 500 (DLOG(SPX)). The sample period is from 1/2/90 to 12/31/1999. So the estimated variance from this model is for 1/2000, right?