what is the code to get the degree of freedom of the GARCH equation under t-distribution?
this code does not work.
Code: Select all
dof=eq01.@dfhow to determine the degree of freedom in rolling GARCH?
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wangjiangjiang
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how to determine the degree of freedom in rolling GARCH?
Hi guys
what is the code to get the degree of freedom of the GARCH equation under t-distribution?
this code does not work.
what is the code to get the degree of freedom of the GARCH equation under t-distribution?
this code does not work.
-
EViews Gareth
- Fe ddaethom, fe welon, fe amcangyfrifon
- Posts: 13604
- Joined: Tue Sep 16, 2008 5:38 pm
Re: how to determine the degree of freedom in rolling GARCH?
It is stored in the coefficient vector.
Something like:
in the case where you have 5 mean and variance equation parameters.
Something like:
Code: Select all
=eq1.@coef(6)
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