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negative values in Garch/Arch model
Posted: Wed Jul 04, 2012 11:29 pm
by irulishka
Hello.
Which methods do you use for Garch/Arch model negative values calculation?
Ira.
Re: negative values in Garch/Arch model
Posted: Fri Jul 06, 2012 10:43 am
by EViews Glenn
I'm afraid that I don't understand the question.
Re: negative values in Garch/Arch model
Posted: Mon Jul 09, 2012 11:08 am
by irulishka
Sorry for the confusion. I meant backcast initial variances for GARCH, which are used to compute the log-likelihood function. For the model GARCH(1,1) we need only sigma_0 and epsilon_0 and there is formula 7.14 (EViews 7 Users Guide II, Chapter 7. ARCH and GARCH Estimation) to compute them.
But what about GARCH models of higher orders? In order to compute the log-likelihood function we need to know residuals and conditional variances with negative indices, do we use the same formula to compute them as the formula for sigma_0 and epsilon_0?
Re: negative values in Garch/Arch model
Posted: Tue Jul 10, 2012 11:23 am
by EViews Glenn
The presample values are all set to sigma^2_0.
Re: negative values in Garch/Arch model
Posted: Wed Jul 11, 2012 6:31 am
by irulishka
thank you