Something like "HAC Newey–West" in GARCH?

[Michal83]

In case of "LS - Least Squares (NLS and ARMA)", you can choose HAC Newey-West standard errors & covariance. Is there any equivalent in GARCH-model? Is it Bollerslev-Wooldridge robust standard errors & covariance? My problem is, that the residuals are autocorrelated and I cannot "remove" it (even with a lagged endogenous variable). I investigate high frequency financial data in EViews 8. Thank you very much in advance.

[Wouter van der Stee]

Hi all,

I'm wondering the same thing as Michal83. Does anyone know this?

Thanks in advance!

Wouter