Restricting Parameters in GARCH
Posted: Sat Dec 14, 2013 7:54 am
Hey forum!
I am estimating a GARCH and GJR-GARCH model. I am doing this to test the information content implicit in the price of stock index options. One comparison I want to make, is the case when only one variable (in our case implied volatility) is used to explain the conditional variance process. In other words, I want to estimate the following mean return equation:
r = m + ht
and then let ht only depend on implied volatility, where ht is the conditional variance process. It would imply that I restrict in eviews the arch, garch and threshold terms to zero, but I am not allowed to do that. Any help?
Regards
I am estimating a GARCH and GJR-GARCH model. I am doing this to test the information content implicit in the price of stock index options. One comparison I want to make, is the case when only one variable (in our case implied volatility) is used to explain the conditional variance process. In other words, I want to estimate the following mean return equation:
r = m + ht
and then let ht only depend on implied volatility, where ht is the conditional variance process. It would imply that I restrict in eviews the arch, garch and threshold terms to zero, but I am not allowed to do that. Any help?
Regards