Trouble with my GARCH (1,1) Model
Posted: Mon Sep 17, 2012 10:07 am
Hey Guys,
I am having trouble with choosing the right options for my GARCH (1,1) model and I am new to eviews.
I have 2 dummy variables, the one is supposed to have a positive and the other to have a negative influence on my stock market data (daily return). I want to check for the magnitude and the significance of the magnitude. I am not sure which settings to select.
1.) Do I have to include my independent variables both, into the mean equation and into the field "variance regressors"? Or only into variance regressors?
2.) What value should I use for "presample variance"? The standard setting is "backcast with parameter = 0.7"
3.) Further, I don't know which method to use for the error distribution (standard "Normal (Gaussian)") nor which the differences are.
4.) For the output I get: Should I interpret the values underneath "Variance Equation" or the part of the table above it.
Thanks in advance,
Jacob
I am having trouble with choosing the right options for my GARCH (1,1) model and I am new to eviews.
I have 2 dummy variables, the one is supposed to have a positive and the other to have a negative influence on my stock market data (daily return). I want to check for the magnitude and the significance of the magnitude. I am not sure which settings to select.
1.) Do I have to include my independent variables both, into the mean equation and into the field "variance regressors"? Or only into variance regressors?
2.) What value should I use for "presample variance"? The standard setting is "backcast with parameter = 0.7"
3.) Further, I don't know which method to use for the error distribution (standard "Normal (Gaussian)") nor which the differences are.
4.) For the output I get: Should I interpret the values underneath "Variance Equation" or the part of the table above it.
Thanks in advance,
Jacob