Time varying coefficient ARCH and DCC models
Posted: Wed Nov 13, 2013 1:47 am
Dear Gareth and Moderator
I would like to know that is there codes available in Eviews to perform Time Varying coefficients ARCH and Dynamic Conditional Corelation (DCC) type models?
I know that Marcov-Switching model do the same thing, but what I need is a technique that choose switching times automatically without restrictions.
My meaning is more about the time varying coefficient ARCH/GARCH models that Pavel Čížek et al. (2009) introduced in their book: Statistical Tools for Finance and Insurance, is published by Springer.
I know that the Codes for this methods are available in R, but I would prefer Eviews as Im more used to Eviews.
I look forward to hear your reply
Niaz
I would like to know that is there codes available in Eviews to perform Time Varying coefficients ARCH and Dynamic Conditional Corelation (DCC) type models?
I know that Marcov-Switching model do the same thing, but what I need is a technique that choose switching times automatically without restrictions.
My meaning is more about the time varying coefficient ARCH/GARCH models that Pavel Čížek et al. (2009) introduced in their book: Statistical Tools for Finance and Insurance, is published by Springer.
I know that the Codes for this methods are available in R, but I would prefer Eviews as Im more used to Eviews.
I look forward to hear your reply
Niaz