3
$\begingroup$

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

$\endgroup$
  • 2
    $\begingroup$ 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. $\endgroup$ – Owe Jessen Aug 9 '11 at 15:05
2
$\begingroup$

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.

$\endgroup$

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service, privacy policy and cookie policy

Not the answer you're looking for? Browse other questions tagged or ask your own question.