Imposing restrictions on ARCH coefficients.

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lexrk8
Posts: 2
Joined: Thu Apr 10, 2014 3:58 am

Imposing restrictions on ARCH coefficients.

Postby lexrk8 » Thu Apr 10, 2014 5:19 am

I am estimating an ARCH(4), however I need to impose weights on the ARCH components, i.e. the model for the variance:
h_t=c+a*sum_{k=1}^{4} (w_i)*e_(t-i)
And w_i=(5-i)/10 so that the weights are 0.4 , 0.3 , 0.2 and 0.1 respectively. How should I do that in eviews?

lexrk8
Posts: 2
Joined: Thu Apr 10, 2014 3:58 am

Re: Imposing restrictions on ARCH coefficients.

Postby lexrk8 » Tue Apr 15, 2014 6:47 am

So is it possible to impose such restrictions in Eviews rahter than doing a likelyhood ratio test or no one knows how?


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