Garch Testing stock return sensitvity to changing rates
Posted: Thu Aug 30, 2012 5:16 pm
hello,
Im using E-VIEWS to test how sensitivite financial firms in the UK are to changes in interest rate, and would like to clear a few things
1) i have all my data (daily stock prices), but do i transform this to log before getting my descriptive statistics or thats not necessary for it.
2) i have already transformed my prices into log but not sure how to write the equation for calculating stock returns
3) how do i write the formula for the gjr garch in E-VIEWS, whats the constant and the variable and the determinant.
would really appreciate any and all help what so ever...Thank you all in advance.
Olu.
Im using E-VIEWS to test how sensitivite financial firms in the UK are to changes in interest rate, and would like to clear a few things
1) i have all my data (daily stock prices), but do i transform this to log before getting my descriptive statistics or thats not necessary for it.
2) i have already transformed my prices into log but not sure how to write the equation for calculating stock returns
3) how do i write the formula for the gjr garch in E-VIEWS, whats the constant and the variable and the determinant.
would really appreciate any and all help what so ever...Thank you all in advance.
Olu.