Please Help! GJR-GARCH(TGARCH)

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ifu06636
Posts: 8
Joined: Thu Sep 08, 2011 7:17 am

Please Help! GJR-GARCH(TGARCH)

Postby ifu06636 » Thu Sep 08, 2011 7:35 am

Hi,

I have not used Eviews before and do not have much experience of econometrics packages in general so i hope someone can help me as I am going mad trying to work out what to do here....and Im sure it will be simple enough!
I am trying to estimate a GJR-GARCH model in Eviews for Brazil which is as standard, apart from also including a term for a lag on the error term of a world index into the conditional variance.
Does anyone know how i cant input this into the conditional variance equation, where and how i need to do it?
I have attached the conditional variance term in a word document as i cannot copy it here.
Also in the mean equation box do i need to add anything else apart from the return series for Brazil.

Thanks!
Attachments
GJRGARCH.doc
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ifu06636
Posts: 8
Joined: Thu Sep 08, 2011 7:17 am

Re: Please Help! GJR-GARCH(TGARCH)

Postby ifu06636 » Thu Sep 08, 2011 7:37 am

Also, It is Eviews version 7


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