Garch Parameters

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ophadnavis
Posts: 10
Joined: Wed Oct 03, 2012 5:21 am

Garch Parameters

Postby ophadnavis » Thu Jun 27, 2013 6:21 am

For estimation of garch(1,1) parameters how is the initial variance fixed?. Is this value displayed in the output. (2.) What is presample variance in backcasting, the default value set is 0.7. What does this mean?
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Garch Parameters

Postby EViews Glenn » Thu Jun 27, 2013 10:12 am

This calculation is described in the ARCH chapter of the manual under Estimation Options/Backcasting. By default, EViews uses a backcast initial variance that is obtained via exponential smoothing. The 0.7 is the smoothing parameter.
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ophadnavis
Posts: 10
Joined: Wed Oct 03, 2012 5:21 am

Re: Garch Parameters

Postby ophadnavis » Thu Jun 27, 2013 9:57 pm

Thanks for the info. Can you please send me the equation in excel. I would be really obliged.
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EViews Glenn
EViews Developer
Posts: 2682
Joined: Wed Oct 15, 2008 9:17 am

Re: Garch Parameters

Postby EViews Glenn » Fri Jun 28, 2013 10:32 am

I don't understand what that request means.
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