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I m recently doing my dissertation and faced with problem in estimation basic rolling GARCh (1,1) process. I have 2500 observation and need to forecast 1 day ahead volatility in rolling form. I will highly appreciate if advanced users provide me assistance in that issue.. I looked guideline but there was no information. In addition I have 6 day remaining to finish my dissertation. So I need your help immediately. Please share any knowledge that you have in that issue

In addition how can I estimate AGARCH in eviews? Iwant to capture asymmetry in time series? ( not by the method of EGARCH and GJR GARCH) Sincerely

Fariz

Thanks all

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First step: get a new deadline, because you will probably not make it in 6 days if you do not have the procedure down pat by now. –  Owe Jessen Aug 9 '11 at 15:05
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After trying to write some pseudo-code which might or might not have helped you, I googled this forum discussion: http://forums.eviews.com/viewtopic.php?f=5&t=1048 - maybe it is helpful for you, because it describes a similar problem.

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