EViews.com

Hi,

I have been trying to include conditional variance into my model. I have extracted the conditional variance (garch) from the return equation but I would like to know how eviews calculates it.
I have tried this formula [Var = (1/N)*(Return-(@mean(return)))^2]. graphically they are very close but the values are different. I would like to know how eviews calculates the conditional variance then base on that I would be able to also estimate the Conditional skewness and kurtosis.

I would be grateful if anyone can advise me.

Regards,
Siroos

I'm a little confused by the question. As one might expect, since you estimated a GARCH model, EViews uses your GARCH specification, not the unconditional variance, to compute the conditional variance. It is not surprising that the two differ.

Thank you very much, now it makes scense.

Now my questions is if the formula that I have applied for conditional variance is correct?
Var = (1/N)*(Return-(@mean(return)))^2

What if I remove the scaling by 1/N since I have more than 700,000 observations. Will it be better?

and finally how about the skewness and kurtosis, do they make scense? and if they are correct should I keep the (1/N) or not?

Skew = (1/N)*((Return-(@mean(return)))/(@stdev(return)))^3
Kurt = (1/N)*((Return-(@mean(return)))/(@stdev(return)))^4

Many thanks,
Siroos