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Hi ,

I would like to ask how can I run this equation

Rit = α + µσt2 - (φ0 + φ1σt2) Rit-1 + εt

the model use GARCH(1,1) with GED

I try to put it in the mean equation but dont know how to
deal with "φ0 + φ1σt2) Rit-1" term

Thanks in advanc

Could you define your terms a bit?

Are φ0 and φ1σt2 coefficients?

Is φ1σt2 a single term, or is it actually φ1*σt2

φ0 and φ1 are coeffients but σt2 is conditional variance

so the term (φ0 + φ1σt2) Rit-1 is

(coefficient + coefficient * conditional variance) * Rit-1

I try to use ARCH-M menu when I run equation using GARCh model

but it only put the term " σt2 " in my equation, I dont know how to put this " σt2 " to multiply with Rit-1

Guess this will help you

Thanks

EViews doesn't handle "non-standard" GARCH in Mean specifications.

Here is one solution:

- You can estimate your garch model without the garch in the mean part.
- Save the conditional variance.
- Then estimate you model again this time with the conditional variance saved from the previous estimation in the mean.
- If you want you can save the cond. variance again and then re-estimate the garch again. You can keep doing this until the log likelihood doesn't change much.


For another solution, you can set and estimate the model up in LogL.

thanks QMS Gareth , Gene

I will try it by the way you told me.

How can I run the model in LogL?

thanks