GMM estimation with equations containing Brownian motion

[CliveHill]

Hi,

I'm trying to use EViews and GMM to estimate the unknown parameters of the equations given in the word document attached. The equations are for mean reversion in the volatility of stock price returns.

I can't find any examples of using EViews when the equation contains a Wiener process, and am not sure whether this is possible.

Can someone please advise how to model and estimate equations containing Wiener processes?

Thanks in advance,

Clive

[trubador]

I am not sure if it is possible to build such a general GMM model in EViews. However, you can try LogL object, since it has a more flexible structure and allows you to control the behaviour of error terms.