EViews.com

Hi,

I am estimating Garch equation for CBOE VIX index values.

In this regard i have some questions?

1. Can i take the dependent variable as log returns of VIX?

2. Do i need to set the Restirction to VarianceTarget or None ?

3. Is it correct that by setting restriction to variance target it ensure that gamma = 1 - alpha - beta

4. what is the significane of setting restriction to none


Thanks

If you are interested in the return of the VIX index, then it would make sense to have that as the dependent variable.

I have no idea as far as restrictions as I don't know what you are trying to accomplish.

However, modeling VIX as the dependent variable in a GARCH model would be a way of evaluating the volatility of volatility. This would be a relevant question wr option market behavior.

Hi Jim,

Thanks for your help. In the eview software there is a parameter to be set for Restrictions (See the attachment). I am not able to understand if which of the options is to be selected "none" or "Igarch" or "variance target".

Please suggest

Thanks

Regards
Onkar