EViews: (2 of 3) How to Estimate ARCH, GARCH, EGARCH & GJR-GARCH (or TGARCH) Models

Part 2 of the basic steps on estimation procedures for Univariate Volatility Modelling using: ARCH(1)-ARCH(5), GARCH(1,1), EGARCH(1,1) and GJR-GARCH (or TGARCH) Models.

[@faithayuba729]

Thank you sir

[@faithoche9664]

Thank you, sir

[@timothyakeju4925]

👌👍

[@isholamercy6349]

👏👏

[@anthonyokene6380]

Please, what principle did you use in the formula you used in generating series on the "All Share Index Returns"?

[@godwinezekoye211]

Thanks for the Video. For the GJR model, what is the interpretation when the gamma coefficient is positive? Does it imply that positive shocks impact volatility more than negative shocks?

[@obezipacademy]

If the gamma coefficient sign or (asymmetry effect) is positive and
statistically significant, that means negative shocks increase volatility than postive shocks. However, if the sign is negative, that means negative shocks reduce volatility than positive shocks.

[@godwinezekoye211]

@@obezipacademy Thanks very much fit the clarification

[@Bootleg.boisixx666]

Thank you sir

[@okpihwoblessingeseoghene2299]

Thank you Sir

[@luciaezekiel3281]

Thank u sir