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Historical Number
59021
Document
information
More support for:
SPSS Statistics
Software version:
Not Applicable
Operating system(s):
Platform Independent
Reference #:
1477243
Modified date:
2010-03-22
12/7/2015 5:11 PM
Top: 9.841mm
CUUK2581/Brooks
Gutter: 18.98mm
978 1 107 03466 2
representation
u t = vt t, vt N 0, 1
t =
0 + 1 u 2t 1 + t21
435
(9.44)
(9.45)
u t
t
(9.47)
The specification of the mean equation should be entered in the dependent variable
edit box. Enter the specification by listing the dependent variable followed by the
regressors. The constant term C should also be included. If your specification
includes an ARCH-M term (see later in this chapter), you should click on the
2:19
436
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CUUK2581/Brooks
Gutter: 18.98mm
978 1 107 03466 2
Screenshot 9.1
appropriate button in the upper RHS of the dialog box to select the conditional
standard deviation, the conditional variance, or the log of the conditional variance.
The variance equation
The edit box labelled Variance regressors is where variables that are to be included
in the variance specification should be listed. Note that EViews will always include
a constant in the conditional variance, so that it is not necessary to add C to the
variance regressor list. Similarly, it is not necessary to include the ARCH or
GARCH terms in this box as they will be dealt with in other parts of the dialog
box. Instead, enter here any exogenous variables or dummies that you wish to
include in the conditional variance equation, or (as is usually the case), just leave
this box blank.
Variance and distribution specification
Under the Variance and distribution Specification label, choose the number of
ARCH and GARCH terms. The default is to estimate with one ARCH and one
GARCH term (i.e. one lag of the squared errors and one lag of the conditional
variance, respectively). To estimate the standard GARCH model, leave the default
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Top: 9.841mm
CUUK2581/Brooks
Gutter: 18.98mm
978 1 107 03466 2
Screenshot 9.2
437
2:19