How do I specify the GARCH/TARCH equation in Eviews 6 in the variance regressors frame, if I want to find out whether there are volatilty spillovers from stock markets A and B to stock market C?
P.S. I know I have to set threshold order to 1 ;)
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Would this work?
EViews actually estimates the GJR-GARCH model when you select the GARCH/TARCH option and specify a threshold order. Original TARCH model works on conditional standard deviation. However, as you can verify it from the user's guide, EViews' TARCH model uses the same specification as GJR model does. Given that, in order to employ a different error distribution, all you have to do is select from the drop down menu in the ARCH-GARCH models dialog box.