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AGARCH Parameters estimation
Posted: Mon Jan 30, 2012 5:53 am
by DANON
Hi All,
Can anyone show how to estimate parameters for AGARCH please.
(constant, arch, garch and leverage)
Regards
Danon
Re: AGARCH Parameters estimation
Posted: Mon Jan 30, 2012 5:54 am
by DANON
Sorry but I forgot to mention that I am using Eviews 7.
Thanks
Danon
Re: AGARCH Parameters estimation
Posted: Mon Jan 30, 2012 8:44 am
by EViews Gareth
AGARCH is not built into EViews. You'll have to program it via a logl object.
Re: AGARCH Parameters estimation
Posted: Tue Jan 31, 2012 4:18 am
by DANON
Thanks a lot Gareth,
I would appreciate should you have any idea on log-likelihood programme codes for AGARCH.
Regards
Danon