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Garch Parameters
Posted: Thu Jun 27, 2013 6:21 am
by ophadnavis
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?
Re: Garch Parameters
Posted: Thu Jun 27, 2013 10:12 am
by EViews Glenn
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.
Re: Garch Parameters
Posted: Thu Jun 27, 2013 9:57 pm
by ophadnavis
Thanks for the info. Can you please send me the equation in excel. I would be really obliged.
Re: Garch Parameters
Posted: Fri Jun 28, 2013 10:32 am
by EViews Glenn
I don't understand what that request means.