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Programming EGARCH
Posted: Sat May 02, 2009 6:06 am
by katyajas
Hello,
I am working on my dissertation and was wondering if someone could help me on prgramming EGARCH please?
And also is it possible to view the news impact curve in EViews?
Many thanks.
Re: Programming EGARCH
Posted: Sat May 02, 2009 7:46 am
by trubador
You should find a sample program on the maximum likelihood estimation of an E-GARCH model in your EViews directory (something like ...\Example Files\Sample Programs\logl\egarch1.prg). You can use it and make necessary modifications to suit your own need. Once the estimation is performed, obtaining news impact curve (NIC) is straightforward. All you have to do is plot the estimated conditional variance series against the various values of shock term.
Re: Programming EGARCH
Posted: Thu May 14, 2009 1:22 pm
by h-godarzi
dear friend
i am also doing ph.d in finance i know how to model EGARCH IN EVIEWS.
PLEASE CONTACT TO MY EMAIL
hg502003@yahoo.com
hojat
Re: Programming EGARCH
Posted: Fri May 15, 2009 9:26 am
by h-godarzi