multiplicative dummy involving squared residuals and varian

[sulong]

hi Tom,

is it possible to model the following variance equation using the GARCH instruction?
How can i do that?


thanks
sulong.

[TomDoan]

No. You would have to do that with MAXIMIZE. Set it up with something like:

Code: Select all

nonlin(parmset=garchparms) g0 g1 g2 g3 gd
frml hf = (1+gd)*(g0 + g1*h{1} + g2*u{1}^2 + %if(u{1}<0.0,g3*u{1}^2,0.0))
frml logl = (h(t)=hf(t)),(u(t)=resid(t)),-.5*(log(h)+u^2/h)